Pair Correlation Between T.J. Maxx and Macys

This module allows you to analyze existing cross correlation between The TJX Companies Inc and Macys Inc. You can compare the effects of market volatilities on T.J. Maxx 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 T.J. Maxx with a short position of Macys. See also your portfolio center. Please also check ongoing floating volatility patterns of T.J. Maxx and Macys.
Investment Horizon     30 Days    Login   to change
 The TJX Companies Inc.  vs   Macys Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, The TJX Companies Inc is expected to generate 0.25 times more return on investment than Macys. However, The TJX Companies Inc is 3.93 times less risky than Macys. It trades about -0.07 of its potential returns per unit of risk. Macys Inc is currently generating about -0.29 per unit of risk. If you would invest  7,644  in The TJX Companies Inc on December 22, 2016 and sell it today you would lose (95.00)  from holding The TJX Companies Inc or give up 1.24% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between T.J. Maxx and Macys
0.25

Parameters

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

Diversification

Modest diversification

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

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.62 (0.11)  0.00 (0.08)  0.00 (0.13)  0.00  1.08 (1.30)  3.64 
 1.63 (0.97)  0.00 (0.84)  0.00 (0.31)  0.00  1.73 (3.57)  16.46 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

The TJX Companies

  

Risk-adjusted Performance

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

Macys Inc

  

Risk-adjusted Performance

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