Correlation Between MACYS and Travelers Companies
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By analyzing existing cross correlation between MACYS RETAIL HLDGS and The Travelers Companies, you can compare the effects of market volatilities on MACYS and Travelers Companies 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 Travelers Companies. Check out your portfolio center. Please also check ongoing floating volatility patterns of MACYS and Travelers Companies.
Diversification Opportunities for MACYS and Travelers Companies
-0.25 | Correlation Coefficient |
Very good diversification
The 3 months correlation between MACYS and Travelers is -0.25. Overlapping area represents the amount of risk that can be diversified away by holding MACYS RETAIL HLDGS and The Travelers Companies in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on The Travelers Companies 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 RETAIL HLDGS are associated (or correlated) with Travelers Companies. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of The Travelers Companies has no effect on the direction of MACYS i.e., MACYS and Travelers Companies go up and down completely randomly.
Pair Corralation between MACYS and Travelers Companies
Assuming the 90 days trading horizon MACYS RETAIL HLDGS is expected to under-perform the Travelers Companies. In addition to that, MACYS is 2.55 times more volatile than The Travelers Companies. It trades about -0.13 of its total potential returns per unit of risk. The Travelers Companies is currently generating about 0.28 per unit of volatility. If you would invest 24,281 in The Travelers Companies on September 5, 2024 and sell it today you would earn a total of 1,778 from holding The Travelers Companies or generate 7.32% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 90.91% |
| Values | Daily Returns |
MACYS RETAIL HLDGS vs. The Travelers Companies
Performance |
| Timeline |
| MACYS RETAIL HLDGS |
| The Travelers Companies |
MACYS and Travelers Companies Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with MACYS and Travelers Companies
The main advantage of trading using opposite MACYS and Travelers Companies positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MACYS position performs unexpectedly, Travelers Companies 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 Travelers Companies will offset losses from the drop in Travelers Companies' long position.The idea behind MACYS RETAIL HLDGS and The Travelers Companies 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.| Travelers Companies vs. Progressive Corp | Travelers Companies vs. Chubb | Travelers Companies vs. Cincinnati Financial | Travelers Companies vs. W R Berkley |
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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
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