Pair Correlation Between Citigroup and Apple

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

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 1.8 times less return on investment than Apple. But when comparing it to its historical volatility, Citigroup Inc is 1.03 times less risky than Apple. It trades about 0.15 of its potential returns per unit of risk. Apple Inc is currently generating about 0.26 of returns per unit of risk over similar time horizon. If you would invest  14,362  in Apple Inc on April 24, 2017 and sell it today you would earn a total of  1,018  from holding Apple Inc or generate 7.09% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Citigroup and Apple
0.78

Parameters

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

Diversification

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Citigroup Inc

  
10 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup Inc are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days.

Apple Inc

  
18 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Apple Inc are ranked lower than 18 (%) of all global equities and portfolios over the last 30 days.