Pair Correlation Between T.J. Maxx and Macys Inc

Investment Horizon     30 Days    Login   to change
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 Inc 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 Inc. Please also check ongoing floating volatility patterns of T.J. Maxx and Macys Inc.
 The TJX Companies Inc.  vs   Macys Inc.
Daily Returns (%)
TJX   M   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, The TJX Companies Inc is expected to generate 0.8 times more return on investment than Macys Inc. However, The TJX Companies Inc is 1.26 times less risky than Macys Inc. It trades about 0.08 of its potential returns per unit of risk. Macys Inc is currently generating about -0.46 per unit of risk. If you would invest  7,149  in The TJX Companies Inc on September 10, 2015 and sell it today you would earn a total of  129.00  from holding The TJX Companies Inc or generate 1.8% return on investment over 30 days.

Correlation Coefficient



Time Period1 Month [change]
DirectionPositive M Moved Up vs TJX
ValuesDaily Returns


Poor diversification

Overlapping area represents 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

Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 



Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in The TJX Companies Inc are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for T.J. Maxx


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.

Pair trading matchups for Macys Inc