Pair Correlation Between Citigroup and CVS Health

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.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Citigroup Inc  vs   CVS Health Corp.
 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 1.1 times less return on investment than CVS Health. But when comparing it to its historical volatility, Citigroup Inc is 1.15 times less risky than CVS Health. It trades about 0.24 of its potential returns per unit of risk. CVS Health Corporation is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest  7,546  in CVS Health Corporation on August 26, 2017 and sell it today you would earn a total of  417.00  from holding CVS Health Corporation or generate 5.53% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Citigroup and CVS Health
0.46

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.0%
ValuesDaily Returns

Diversification

Very weak 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.

Comparative Volatility

 Predicted Return Density 
      Returns 

Citigroup Inc

  
16 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup Inc are ranked lower than 16 (%) of all global equities and portfolios over the last 30 days.

CVS Health

  
15 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in CVS Health Corporation are ranked lower than 15 (%) of all global equities and portfolios over the last 30 days.