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 under-perform the Macys. But the stock apears to be less risky and, when comparing its historical volatility, The TJX Companies Inc is 1.73 times less risky than Macys. The stock trades about -0.18 of its potential returns per unit of risk. The Macys Inc is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  3,634  in Macys Inc on September 1, 2016 and sell it today you would earn a total of  71.00  from holding Macys Inc or generate 1.95% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between T.J. Maxx and Macys
0.78

Parameters

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

Diversification

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. 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
 0.77 (0.19) 0.00  0.47  0.00 (0.10) 0.00  1.23 (1.71) 2.72 
 1.30  0.08  0.11 (0.23) 1.57  0.11 (1.42) 2.88 (2.72) 6.08 

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

Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days.