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, T.J. Maxx is expected to generate 1.95 times less return on investment than Macys. But when comparing it to its historical volatility, The TJX Companies Inc is 1.36 times less risky than Macys. It trades about 0.26 of its potential returns per unit of risk. Macys Inc is currently generating about 0.38 of returns per unit of risk over similar time horizon. If you would invest  3,685  in Macys Inc on November 4, 2016 and sell it today you would earn a total of  563.00  from holding Macys Inc or generate 15.28% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between T.J. Maxx and Macys
0.58

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.45%
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. 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
 0.98  0.17  0.06  0.61  0.49  0.04 (1.32) 2.11 (1.29) 4.80 
 1.28  0.46  0.32  0.72  0.45  0.25 (1.63) 2.94 (1.71) 7.89 

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

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.