This module allows you to analyze existing cross correlation between Macys and T. You can compare the effects of market volatilities on Macys and T 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 T. See also your portfolio center. Please also check ongoing floating volatility patterns of Macys and T.
Taking into account the 30 trading days horizon, Macys is expected to generate 3.31 times more return on investment than T. However, Macys is 3.31 times more volatile than T. It trades about 0.1 of its potential returns per unit of risk. T is currently generating about -0.07 per unit of risk. If you would invest 3,219 in Macys on April 27, 2018 and sell it today you would earn a total of 194.00 from holding Macys or generate 6.03% return on investment over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding Macys Inc and AT&T INC. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on T 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 are associated (or correlated) with T. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of T has no effect on the direction of Macys i.e. Macys and T go up and down completely randomly.
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