Pair Correlation Between Macys and Alphabet

This module allows you to analyze existing cross correlation between Macys Inc and Alphabet Inc. You can compare the effects of market volatilities on Macys and Alphabet and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Macys with a short position of Alphabet. See also your portfolio center. Please also check ongoing floating volatility patterns of Macys and Alphabet.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Macys Inc  vs   Alphabet Inc
 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Macys Inc is expected to generate 2.85 times more return on investment than Alphabet. However, Macys is 2.85 times more volatile than Alphabet Inc. It trades about 0.31 of its potential returns per unit of risk. Alphabet Inc is currently generating about 0.22 per unit of risk. If you would invest  2,080  in Macys Inc on November 18, 2017 and sell it today you would earn a total of  379  from holding Macys Inc or generate 18.22% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Macys and Alphabet
-0.05

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Macys Inc and Alphabet Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Alphabet Inc and Macys is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Macys Inc are associated (or correlated) with Alphabet. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alphabet Inc has no effect on the direction of Macys i.e. Macys and Alphabet go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Macys Inc

  
20 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 20 (%) of all global equities and portfolios over the last 30 days.

Alphabet Inc

  
14 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Alphabet Inc are ranked lower than 14 (%) of all global equities and portfolios over the last 30 days.