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
Over the last 30 days ATT has generated negative risk-adjusted returns adding no value to investors with long positions.
Over the last 30 days Macys has generated negative risk-adjusted returns adding no value to investors with long positions.
ATT and Macys Volatility Contrast
ATT vs. Macys Inc
Taking into account the 30 trading days horizon, ATT is expected to under-perform the Macys. But the stock apears to be less risky and, when comparing its historical volatility, ATT is 1.45 times less risky than Macys. The stock trades about -0.08 of its potential returns per unit of risk. The Macys is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest 3,241 in Macys on November 17, 2018 and sell it today you would lose (199.00) from holding Macys or give up 6.14% of portfolio value over 30 days.
Pair Corralation between ATT and Macys
|Time Period||2 Months [change]|
Diversification Opportunities for ATT and Macys
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.