Correlation Between Diageo PLC and Macys
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By analyzing existing cross correlation between Diageo PLC ADR and Macys Retail Holdings, you can compare the effects of market volatilities on Diageo PLC 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 Diageo PLC with a short position of Macys. Check out your portfolio center. Please also check ongoing floating volatility patterns of Diageo PLC and Macys.
Diversification Opportunities for Diageo PLC and Macys
0.24 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Diageo and Macys is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding Diageo PLC ADR and Macys Retail Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Macys Retail Holdings and Diageo PLC 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 Diageo PLC ADR 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 Retail Holdings has no effect on the direction of Diageo PLC i.e., Diageo PLC and Macys go up and down completely randomly.
Pair Corralation between Diageo PLC and Macys
Considering the 90-day investment horizon Diageo PLC ADR is expected to under-perform the Macys. But the stock apears to be less risky and, when comparing its historical volatility, Diageo PLC ADR is 1.21 times less risky than Macys. The stock trades about -0.02 of its potential returns per unit of risk. The Macys Retail Holdings is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 9,450 in Macys Retail Holdings on September 12, 2024 and sell it today you would earn a total of 25.00 from holding Macys Retail Holdings or generate 0.26% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 94.35% |
| Values | Daily Returns |
Diageo PLC ADR vs. Macys Retail Holdings
Performance |
| Timeline |
| Diageo PLC ADR |
| Macys Retail Holdings |
Diageo PLC and Macys Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Diageo PLC and Macys
The main advantage of trading using opposite Diageo PLC and Macys positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Diageo PLC position performs unexpectedly, Macys 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 Macys will offset losses from the drop in Macys' long position.| Diageo PLC vs. Andrew Peller Limited | Diageo PLC vs. Naked Wines plc | Diageo PLC vs. Willamette Valley Vineyards | Diageo PLC vs. Splash Beverage Group |
| Macys vs. Constellation Brands Class | Macys vs. Vodka Brands Corp | Macys vs. Treasury Wine Estates | Macys vs. Diageo PLC ADR |
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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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