Pair Correlation Between Macys and ATT

This module allows you to analyze existing cross correlation between Macys Inc and ATT Inc. You can compare the effects of market volatilities on Macys and ATT 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 ATT. See also your portfolio center. Please also check ongoing floating volatility patterns of Macys and ATT.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Macys Inc  vs   ATT Inc
 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Macys Inc is expected to under-perform the ATT. In addition to that, Macys is 1.23 times more volatile than ATT Inc. It trades about -0.31 of its total potential returns per unit of risk. ATT Inc is currently generating about 0.01 per unit of volatility. If you would invest  3,617  in ATT Inc on September 17, 2017 and sell it today you would lose (8)  from holding ATT Inc or give up 0.22% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Macys and ATT
0.57

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy4.1%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding Macys Inc and ATT Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ATT 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 ATT. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ATT Inc has no effect on the direction of Macys i.e. Macys and ATT go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Macys Inc

  
0 

Risk-Adjusted Performance

Over the last 30 days Macys Inc has generated negative risk-adjusted returns adding no value to investors with long positions.

ATT Inc

  
0 

Risk-Adjusted Performance

Over the last 30 days ATT Inc has generated negative risk-adjusted returns adding no value to investors with long positions.