Correlation Between Macys and Disney
Can any of the company-specific risk be diversified away by investing in both Macys and Disney 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 Disney into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Macys Inc and Walt Disney, you can compare the effects of market volatilities on Macys and Disney 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 Disney. Check out your portfolio center. Please also check ongoing floating volatility patterns of Macys and Disney.
Diversification Opportunities for Macys and Disney
Poor diversification
The 3 months correlation between Macys and Disney is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Macys Inc and Walt Disney in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Walt Disney 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 Disney. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Walt Disney has no effect on the direction of Macys i.e., Macys and Disney go up and down completely randomly.
Pair Corralation between Macys and Disney
Taking into account the 90-day investment horizon Macys Inc is expected to under-perform the Disney. In addition to that, Macys is 1.6 times more volatile than Walt Disney. It trades about -0.24 of its total potential returns per unit of risk. Walt Disney is currently generating about -0.04 per unit of volatility. If you would invest 11,451 in Walt Disney on January 19, 2024 and sell it today you would lose (157.00) from holding Walt Disney or give up 1.37% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 95.45% |
Values | Daily Returns |
Macys Inc vs. Walt Disney
Performance |
Timeline |
Macys Inc |
Walt Disney |
Macys and Disney Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Macys and Disney
The main advantage of trading using opposite Macys and Disney positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Macys position performs unexpectedly, Disney 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 Disney will offset losses from the drop in Disney's long position.Macys vs. Marks Spencer Group | Macys vs. Marks and Spencer | Macys vs. Dillards Capital Trust | Macys vs. Companhia Brasileira de |
Disney vs. Roku Inc | Disney vs. Paramount Global Class | Disney vs. Warner Bros Discovery | Disney vs. Paramount Global Class |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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