Benchmark  United States  NYSE  11,198   41.9775  -0.3735% 


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Correlation analysis 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 (%)
TJX   M   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, T.J. Maxx is expected to generate 1.21 times less return on investment than Macys. But when comparing it to its historical volatility, The TJX Companies Inc is 1.49 times less risky than Macys. It trades about 0.13 of its potential returns per unit of risk. Macys Inc is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  6,594  in Macys Inc on April 25, 2015 and sell it today you would earn a total of  217.00  from holding Macys Inc or generate 3.29% return on investment over 30 days.

Correlation Coefficient

0.55

Parameters

Time Period1 Month [change]
DirectionPositive M Moved Up vs TJX
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak 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 

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 8 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for T.J. Maxx

Macys Inc vs. The TJX Companies Inc
Kohls Corp vs. The TJX Companies Inc
Dillards Inc vs. The TJX Companies Inc
Sears Holdings Corporation vs. The TJX Companies Inc
Belk Inc vs. The TJX Companies Inc
J C Penney Company Inc vs. The TJX Companies Inc
Myer Holdings Limited vs. The TJX Companies Inc
Alon Blue Square Israel Ltd vs. The TJX Companies Inc
BonTon Stores Inc vs. The TJX Companies Inc
  

Macys Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Macys

The TJX Companies Inc vs. Macys Inc
Kohls Corp vs. Macys Inc
Dillards Inc vs. Macys Inc
Sears Holdings Corporation vs. Macys Inc
Belk Inc vs. Macys Inc
J C Penney Company Inc vs. Macys Inc
Myer Holdings Limited vs. Macys Inc
Alon Blue Square Israel Ltd vs. Macys Inc
BonTon Stores Inc vs. Macys Inc