Correlation Analysis Between Citigroup and Goldman Sachs

This module allows you to analyze existing cross correlation between Citigroup and The Goldman Sachs Group. 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.
 Time 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 1.31 times more return on investment than Goldman Sachs. However, Citigroup is 1.31 times more volatile than The Goldman Sachs Group. It trades about 0.1 of its potential returns per unit of risk. The Goldman Sachs Group is currently generating about 0.11 per unit of risk. If you would invest  6,720  in Citigroup on June 22, 2018 and sell it today you would earn a total of  202.00  from holding Citigroup or generate 3.01% return on investment over 30 days.

Pair Corralation between Citigroup and Goldman Sachs

0.92
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

Almost no 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 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  
6 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.
The Goldman Sachs  
7 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in The Goldman Sachs Group are ranked lower than 7 (%) of all global equities and portfolios over the last 30 days.

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GOOG - USA Stock
Alphabet
Specialization
IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1186.96

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