Pair Correlation Between Citigroup and Wilshire US

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

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup Inc is expected to under-perform the Wilshire US. In addition to that, Citigroup is 1.95 times more volatile than Wilshire US Large Cap Value Ind. It trades about -0.11 of its total potential returns per unit of risk. Wilshire US Large Cap Value Ind is currently generating about -0.09 per unit of volatility. If you would invest  502,921  in Wilshire US Large Cap Value Ind on October 23, 2017 and sell it today you would lose (3,256)  from holding Wilshire US Large Cap Value Ind or give up 0.65% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Citigroup and Wilshire US
0.38

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy95.65%
ValuesDaily Returns

Diversification

Weak diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns