Given investment horizon of 30 days, NYSE is expected to generate 0.44 times more return on investment than Citigroup. However, NYSE is 2.3 times less risky than Citigroup. It trades about -0.32 of its potential returns per unit of risk. Citigroup Inc. is currently generating about -0.49 per unit of risk. If you would invest 807,079 in NYSE on April 24, 2012 and sell it today you would lose (52,989) from holding NYSE or give up 6.57% of portfolio value over 30 days.
Diversification
Poor diversification
Overlapping area represents amount of risk that can be diversified away by holding NYSE and Citigroup Inc. in the same portfolio (assuming nothing else is changed)
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