Correlation Between Macys and Companhia Brasileira
Can any of the company-specific risk be diversified away by investing in both Macys and Companhia Brasileira at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Macys and Companhia Brasileira into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Macys Inc and Companhia Brasileira de, you can compare the effects of market volatilities on Macys and Companhia Brasileira 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 Macys with a short position of Companhia Brasileira. Check out your portfolio center. Please also check ongoing floating volatility patterns of Macys and Companhia Brasileira.
Diversification Opportunities for Macys and Companhia Brasileira
-0.28 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Macys and Companhia is -0.28. Overlapping area represents the amount of risk that can be diversified away by holding Macys Inc and Companhia Brasileira de in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Companhia Brasileira and Macys 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 Macys Inc are associated (or correlated) with Companhia Brasileira. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Companhia Brasileira has no effect on the direction of Macys i.e., Macys and Companhia Brasileira go up and down completely randomly.
Pair Corralation between Macys and Companhia Brasileira
Taking into account the 90-day investment horizon Macys Inc is expected to generate 0.66 times more return on investment than Companhia Brasileira. However, Macys Inc is 1.51 times less risky than Companhia Brasileira. It trades about -0.08 of its potential returns per unit of risk. Companhia Brasileira de is currently generating about -0.47 per unit of risk. If you would invest 1,963 in Macys Inc on January 25, 2024 and sell it today you would lose (90.00) from holding Macys Inc or give up 4.58% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 90.91% |
| Values | Daily Returns |
Macys Inc vs. Companhia Brasileira de
Performance |
| Timeline |
| Macys Inc |
| Companhia Brasileira |
Macys and Companhia Brasileira Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Macys and Companhia Brasileira
The main advantage of trading using opposite Macys and Companhia Brasileira positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Macys position performs unexpectedly, Companhia Brasileira can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Companhia Brasileira will offset losses from the drop in Companhia Brasileira's long position.| Macys vs. Marks Spencer Group | Macys vs. Marks and Spencer | Macys vs. Dillards Capital Trust | Macys vs. Companhia Brasileira de |
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Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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