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
Macys Inc vs ATT Inc
Taking into account the 30 trading days horizon, Macys Inc is expected to under-perform the ATT. In addition to that, Macys is 1.35 times more volatile than ATT Inc. It trades about -0.11 of its total potential returns per unit of risk. ATT Inc is currently generating about -0.05 per unit of volatility. If you would invest 3,719 in ATT Inc on January 23, 2018 and sell it today you would lose (88.00) from holding ATT Inc or give up 2.37% of portfolio value over 30 days.
|Time Period||1 Month [change]|
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.
Over the last 30 days Macys Inc has generated negative risk-adjusted returns adding no value to investors with long positions.
Over the last 30 days ATT Inc has generated negative risk-adjusted returns adding no value to investors with long positions.