This module allows you to analyze existing cross correlation between Citigroup Inc and CVS Health Corporation. You can compare the effects of market volatilities on Citigroup and CVS Health 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 CVS Health. See also your portfolio center
. Please also check ongoing floating volatility patterns of Citigroup
and CVS Health
Citigroup Inc vs CVS Health Corp.
Taking into account the 30 trading days horizon, Citigroup Inc is expected to generate 0.92 times more return on investment than CVS Health. However, Citigroup Inc is 1.08 times less risky than CVS Health. It trades about -0.04 of its potential returns per unit of risk. CVS Health Corporation is currently generating about -0.23 per unit of risk. If you would invest 7,830 in Citigroup Inc on January 19, 2018 and sell it today you would lose (148.00) from holding Citigroup Inc or give up 1.89% of portfolio value over 30 days.
|Time Period||1 Month [change]|
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and CVS Health Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CVS Health 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 CVS Health. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CVS Health has no effect on the direction of Citigroup i.e. Citigroup and CVS Health go up and down completely randomly.
Over the last 30 days Citigroup Inc has generated negative risk-adjusted returns adding no value to investors with long positions.
Over the last 30 days CVS Health Corporation has generated negative risk-adjusted returns adding no value to investors with long positions.