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
Citigroup Inc vs The Goldman Sachs Group Inc
Taking into account the 30 trading days horizon, Citigroup Inc is expected to under-perform the Goldman Sachs. But the stock apears to be less risky and, when comparing its historical volatility, Citigroup Inc is 1.18 times less risky than Goldman Sachs. The stock trades about -0.19 of its potential returns per unit of risk. The The Goldman Sachs Group Inc is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest 26,489 in The Goldman Sachs Group Inc on February 19, 2018 and sell it today you would lose (170.00) from holding The Goldman Sachs Group Inc or give up 0.64% of portfolio value over 30 days.
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Very weak 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.
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 The Goldman Sachs Group Inc has generated negative risk-adjusted returns adding no value to investors with long positions.