Correlation Between Macys and SAS AB

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Can any of the company-specific risk be diversified away by investing in both Macys and SAS AB 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 SAS AB into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Macys Inc and SAS AB, you can compare the effects of market volatilities on Macys and SAS AB 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 SAS AB. Check out your portfolio center. Please also check ongoing floating volatility patterns of Macys and SAS AB.

Diversification Opportunities for Macys and SAS AB

0.29
  Correlation Coefficient

Modest diversification

The 3 months correlation between Macys and SAS is 0.29. Overlapping area represents the amount of risk that can be diversified away by holding Macys Inc and SAS AB in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SAS AB 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 SAS AB. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SAS AB has no effect on the direction of Macys i.e., Macys and SAS AB go up and down completely randomly.

Pair Corralation between Macys and SAS AB

Taking into account the 90-day investment horizon Macys is expected to generate 2.14 times less return on investment than SAS AB. But when comparing it to its historical volatility, Macys Inc is 7.17 times less risky than SAS AB. It trades about 0.12 of its potential returns per unit of risk. SAS AB is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  2.60  in SAS AB on December 30, 2023 and sell it today you would lose (0.72) from holding SAS AB or give up 27.69% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Macys Inc  vs.  SAS AB

 Performance 
       Timeline  
Macys Inc 

Risk-Adjusted Performance

1 of 100

 
Low
 
High
Weak
Compared to the overall equity markets, risk-adjusted returns on investments in Macys Inc are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy primary indicators, Macys is not utilizing all of its potentials. The latest stock price disarray, may contribute to short-term losses for the investors.
SAS AB 

Risk-Adjusted Performance

6 of 100

 
Low
 
High
Modest
Compared to the overall equity markets, risk-adjusted returns on investments in SAS AB are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite quite unfluctuating fundamental indicators, SAS AB disclosed solid returns over the last few months and may actually be approaching a breakup point.

Macys and SAS AB Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Macys and SAS AB

The main advantage of trading using opposite Macys and SAS AB positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Macys position performs unexpectedly, SAS AB 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 SAS AB will offset losses from the drop in SAS AB's long position.
The idea behind Macys Inc and SAS AB pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.

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