Pair Correlation Between DOW and Citigroup

This module allows you to analyze existing cross correlation between DOW and Citigroup Inc. 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.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 DOW  vs   Citigroup Inc
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to generate 0.21 times more return on investment than Citigroup. However, DOW is 4.82 times less risky than Citigroup. It trades about 0.59 of its potential returns per unit of risk. Citigroup Inc is currently generating about 0.1 per unit of risk. If you would invest  2,233,135  in DOW on September 18, 2017 and sell it today you would earn a total of  66,609  from holding DOW or generate 2.98% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between DOW and Citigroup
0.57

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak 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 Inc 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 Inc has no effect on the direction of DOW i.e. DOW and Citigroup go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns