Pair Correlation Between Rite Aid and Macys

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

Pair Volatility

Considering 30-days investment horizon, Rite Aid is expected to generate 1.82 times less return on investment than Macys. In addition to that, Rite Aid is 2.39 times more volatile than Macys Inc. It trades about 0.13 of its total potential returns per unit of risk. Macys Inc is currently generating about 0.55 per unit of volatility. If you would invest  1,933  in Macys Inc on November 13, 2017 and sell it today you would earn a total of  653  from holding Macys Inc or generate 33.78% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Rite Aid and Macys
0.77

Parameters

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

Diversification

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Rite Aid

  
8 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Rite Aid Corporation are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.

Macys Inc

  
36 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 36 (%) of all global equities and portfolios over the last 30 days.