Pair Correlation Between Target and Macys

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

Pair Volatility

Considering 30-days investment horizon, Target Corporation is expected to generate 0.68 times more return on investment than Macys. However, Target Corporation is 1.48 times less risky than Macys. It trades about 0.21 of its potential returns per unit of risk. Macys Inc is currently generating about -0.07 per unit of risk. If you would invest  5,855  in Target Corporation on September 23, 2017 and sell it today you would earn a total of  321  from holding Target Corporation or generate 5.48% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Target and Macys
-0.26

Parameters

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

Diversification

Very good diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Target

  
13 

Risk-Adjusted Performance

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

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.