Pair Correlation Between T.J. Maxx and Macys

  
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 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. Please also check ongoing floating volatility patterns of T.J. Maxx and Macys.
 The TJX Companies Inc.  vs   Macys Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, T.J. Maxx is expected to generate 1.3 times less return on investment than Macys. But when comparing it to its historical volatility, The TJX Companies Inc is 1.37 times less risky than Macys. It trades about 0.43 of its potential returns per unit of risk. Macys Inc is currently generating about 0.41 of returns per unit of risk over similar time horizon. If you would invest  3,171  in Macys Inc on June 25, 2016 and sell it today you would earn a total of  357.00  from holding Macys Inc or generate 11.26% return on investment over 30 days.

Correlation Coefficient

0.66

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
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.93  0.06  0.02  0.22  0.87  0.02 (1.30) 2.19 (1.51) 3.04 
 1.34  0.19  0.11  0.33  1.40  0.12 (1.68) 2.27 (1.60) 5.63 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

The TJX Companies

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in The TJX Companies Inc are ranked lower than 28 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for T.J. Maxx

  

Macys Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 26 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Macys