Correlation Analysis Between Citigroup and International Business

This module allows you to analyze existing cross correlation between Citigroup and International Business Machines. You can compare the effects of market volatilities on Citigroup and International Business 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 International Business. See also your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and International Business.
Horizon     30 Days    Login   to change
Symbolsvs
Check Efficiency

Comparative Performance

Citigroup  
88

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days. Despite somewhat sluggish basic indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in January 2020.
International Business  
00

Risk-Adjusted Performance

Over the last 30 days International Business Machines has generated negative risk-adjusted returns adding no value to investors with long positions. Even with considerably steady technical indicators, International Business is not utilizing all of its potentials. The ongoing stock price chaos, may contribute to medium term losses for the stakeholders.

Citigroup and International Business Volatility Contrast

 Predicted Return Density 
      Returns 

Citigroup Inc  vs.  International Business Machine

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 1.15 times more return on investment than International Business. However, Citigroup is 1.15 times more volatile than International Business Machines. It trades about 0.12 of its potential returns per unit of risk. International Business Machines is currently generating about -0.09 per unit of risk. If you would invest  6,879  in Citigroup on November 8, 2019 and sell it today you would earn a total of  702.00  from holding Citigroup or generate 10.2% return on investment over 30 days.

Pair Corralation between Citigroup and International Business

-0.73
Time Period3 Months [change]
DirectionNegative 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Citigroup and International Business

Citigroup Inc diversification synergy

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and International Business Machine in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on International Business 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 International Business. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of International Business has no effect on the direction of Citigroup i.e. Citigroup and International Business go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.


 
Search macroaxis.com