Correlation Analysis Between Citigroup and Bank of New York

This module allows you to analyze existing cross correlation between Citigroup and The Bank of New York Mellon Corporation. You can compare the effects of market volatilities on Citigroup and Bank of New York 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 Bank of New York. See also your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Bank of New York.
Horizon     30 Days    Login   to change
Symbolsvs
Compare Efficiency

Comparative Performance

Citigroup  
0

Risk-Adjusted Performance

Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions.
Bank of New York  
2

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in The Bank of New York Mellon Corporation are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days.

Citigroup and Bank of New York Volatility Contrast

 Predicted Return Density 
      Returns 

Citigroup Inc  vs.  The Bank of New York Mellon Co

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to under-perform the Bank of New York. In addition to that, Citigroup is 1.33 times more volatile than The Bank of New York Mellon Corporation. It trades about -0.28 of its total potential returns per unit of risk. The Bank of New York Mellon Corporation is currently generating about 0.04 per unit of volatility. If you would invest  4,779  in The Bank of New York Mellon Corporation on November 17, 2018 and sell it today you would earn a total of  88.00  from holding The Bank of New York Mellon Corporation or generate 1.84% return on investment over 30 days.

Pair Corralation between Citigroup and Bank of New York

0.04
Time Period2 Months [change]
DirectionPositive 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Citigroup and Bank of New York

Citigroup Inc diversification synergy

Significant diversification

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

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