Correlation Analysis Between DOW and Citigroup

This module allows you to analyze existing cross correlation between DOW and Citigroup. You can compare the effects of market volatilities on DOW and Citigroup 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 DOW with a short position of Citigroup. See also your portfolio center. Please also check ongoing floating volatility patterns of DOW and Citigroup.
Horizon     30 Days    Login   to change

DOW  vs.  Citigroup Inc

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to generate 0.66 times more return on investment than Citigroup. However, DOW is 1.51 times less risky than Citigroup. It trades about -0.04 of its potential returns per unit of risk. Citigroup is currently generating about -0.18 per unit of risk. If you would invest  2,533,999  in DOW on November 11, 2018 and sell it today you would lose (63,250)  from holding DOW or give up 2.5% of portfolio value over 30 days.

Pair Corralation between DOW and Citigroup

Time Period2 Months [change]
ValuesDaily Returns


DOW diversification synergy

Poor diversification

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

Comparative Volatility

 Predicted Return Density 

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