Pair Correlation Between Citigroup and Goldman Sachs

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

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 1.62 times less return on investment than Goldman Sachs. In addition to that, Citigroup is 1.13 times more volatile than The Goldman Sachs Group Inc. It trades about 0.19 of its total potential returns per unit of risk. The Goldman Sachs Group Inc is currently generating about 0.35 per unit of volatility. If you would invest  23,802  in The Goldman Sachs Group Inc on November 17, 2017 and sell it today you would earn a total of  1,915  from holding The Goldman Sachs Group Inc or generate 8.05% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Citigroup and Goldman Sachs
0.79

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 The Goldman Sachs Group Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on The Goldman Sachs 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 Goldman Sachs. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of The Goldman Sachs has no effect on the direction of Citigroup i.e. Citigroup and Goldman Sachs go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Citigroup Inc

  
12 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup Inc are ranked lower than 12 (%) of all global equities and portfolios over the last 30 days.

The Goldman Sachs

  
23 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in The Goldman Sachs Group Inc are ranked lower than 23 (%) of all global equities and portfolios over the last 30 days.