Correlation Analysis Between ATT and Macys

This module allows you to analyze existing cross correlation between ATT and Macys. You can compare the effects of market volatilities on ATT 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 ATT with a short position of Macys. See also your portfolio center. Please also check ongoing floating volatility patterns of ATT and Macys.
Horizon     30 Days    Login   to change
Symbolsvs

ATT  vs.  Macys Inc

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, ATT is expected to generate 0.43 times more return on investment than Macys. However, ATT is 2.3 times less risky than Macys. It trades about 0.21 of its potential returns per unit of risk. Macys is currently generating about -0.11 per unit of risk. If you would invest  3,283  in ATT on August 26, 2018 and sell it today you would earn a total of  108.00  from holding ATT or generate 3.29% return on investment over 30 days.

Pair Corralation between ATT and Macys

-0.35
Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.24%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding ATT and Macys Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Macys and ATT 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 ATT 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 has no effect on the direction of ATT i.e. ATT and Macys go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
ATT  
13 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in ATT are ranked lower than 13 (%) of all global equities and portfolios over the last 30 days.
Macys  
0 

Risk-Adjusted Performance

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

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GOOG - USA Stock
Alphabet
Specialization
IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1166.09

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