Pair Correlation Between Apple and Citigroup

This module allows you to analyze existing cross correlation between Apple Inc and Citigroup Inc. You can compare the effects of market volatilities on Apple 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 Apple with a short position of Citigroup. See also your portfolio center. Please also check ongoing floating volatility patterns of Apple and Citigroup.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Apple Inc.  vs   Citigroup Inc.
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Apple Inc is expected to under-perform the Citigroup. In addition to that, Apple is 1.43 times more volatile than Citigroup Inc. It trades about -0.15 of its total potential returns per unit of risk. Citigroup Inc is currently generating about 0.09 per unit of volatility. If you would invest  6,227  in Citigroup Inc on May 24, 2017 and sell it today you would earn a total of  114.00  from holding Citigroup Inc or generate 1.83% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Apple and Citigroup
-0.84

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding Apple Inc. and Citigroup Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup Inc and Apple 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 Apple Inc 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 Apple i.e. Apple and Citigroup go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Apple Inc

  
0 

Risk-Adjusted Performance

Over the last 30 days Apple Inc has generated negative risk-adjusted returns adding no value to investors with long positions.

Citigroup Inc

  
6 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup Inc are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.