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 
Considering 30-days investment horizon, The TJX Companies Inc is expected to generate 0.47 times more return on investment than Macys. However, The TJX Companies Inc is 2.13 times less risky than Macys. It trades about -0.18 of its potential returns per unit of risk. Macys Inc is currently generating about -0.1 per unit of risk. If you would invest  7,612  in The TJX Companies Inc on May 29, 2016 and sell it today you would lose (259.00) from holding The TJX Companies Inc or give up 3.4% of portfolio value over 30 days.

Correlation Coefficient

0.47

Parameters

Time Period1 Month [change]
DirectionPositive 
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
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.70 (0.13) 0.00 (0.87) 0.00 (0.03) 0.00  0.96 (1.51) 4.16 
 1.52  0.06  0.08  0.15  1.90  0.07 (2.13) 3.64 (3.89) 8.93 

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.

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