Pair Correlation Between Macys and Visa

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

Pair Volatility

Taking into account the 30 trading days horizon, Macys Inc is expected to under-perform the Visa. In addition to that, Macys is 3.68 times more volatile than Visa Inc. It trades about -0.05 of its total potential returns per unit of risk. Visa Inc is currently generating about 0.41 per unit of volatility. If you would invest  10,302  in Visa Inc on September 24, 2017 and sell it today you would earn a total of  451  from holding Visa Inc or generate 4.38% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Macys and Visa
-0.86

Parameters

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

Diversification

Pay attention

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

Visa Inc

  
27 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Visa Inc are ranked lower than 27 (%) of all global equities and portfolios over the last 30 days.