Pair Correlation Between ATT and Macys

This module allows you to analyze existing cross correlation between ATT Inc and Macys Inc. 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.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 ATT Inc  vs   Macys Inc
 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, ATT Inc is expected to under-perform the Macys. But the stock apears to be less risky and, when comparing its historical volatility, ATT Inc is 1.4 times less risky than Macys. The stock trades about -0.04 of its potential returns per unit of risk. The Macys Inc is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  2,664  in Macys Inc on January 25, 2018 and sell it today you would earn a total of  10.00  from holding Macys Inc or generate 0.38% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between ATT and Macys
0.41

Parameters

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

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding ATT Inc and Macys Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Macys Inc 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 Inc 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 ATT i.e. ATT and Macys go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

ATT Inc

  
0 

Risk-Adjusted Performance

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

Macys Inc

  
1 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days.