Correlation Between Saba Capital and MACYS

Can any of the company-specific risk be diversified away by investing in both Saba Capital and MACYS 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 Saba Capital and MACYS into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Saba Capital Income and MACYS RETAIL HLDGS, you can compare the effects of market volatilities on Saba Capital 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 Saba Capital with a short position of MACYS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Saba Capital and MACYS.

Diversification Opportunities for Saba Capital and MACYS

0.11

Correlation Coefficient

Saba Capital  MACYS

Average diversification

The 3 months correlation between Saba and MACYS is 0.11. Overlapping area represents the amount of risk that can be diversified away by holding Saba Capital Income and MACYS RETAIL HLDGS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MACYS RETAIL HLDGS and Saba Capital 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 Saba Capital Income 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 HLDGS has no effect on the direction of Saba Capital i.e., Saba Capital and MACYS go up and down completely randomly.

Pair Corralation between Saba Capital and MACYS

Given the investment horizon of 90 days Saba Capital is expected to generate 2.28 times less return on investment than MACYS. But when comparing it to its historical volatility, Saba Capital Income is 1.58 times less risky than MACYS. It trades about 0.03 of its potential returns per unit of risk. MACYS RETAIL HLDGS is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  10,000  in MACYS RETAIL HLDGS on December 27, 2024 and sell it today you would earn a total of  241.00  from holding MACYS RETAIL HLDGS or generate 2.41% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	91.8%
Values	Daily Returns

Saba Capital Income  vs.  MACYS RETAIL HLDGS

Saba Capital Income

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Saba Capital Income are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong fundamental drivers, Saba Capital is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

MACYS RETAIL HLDGS

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in MACYS RETAIL HLDGS are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, MACYS is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Saba Capital and MACYS

The main advantage of trading using opposite Saba Capital and MACYS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Saba Capital 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's long position.

The idea behind Saba Capital Income and MACYS RETAIL HLDGS 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.

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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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.