Correlation Analysis Between Citigroup and Sprint

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

Citigroup Inc  vs.  Sprint Corp.

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 14.63 times less return on investment than Sprint. But when comparing it to its historical volatility, Citigroup is 1.37 times less risky than Sprint. It trades about 0.02 of its potential returns per unit of risk. Sprint Corporation is currently generating about 0.19 of returns per unit of risk over similar time horizon. If you would invest  513.00  in Sprint Corporation on May 26, 2018 and sell it today you would earn a total of  26.00  from holding Sprint Corporation or generate 5.07% return on investment over 30 days.

Pair Corralation between Citigroup and Sprint

-0.43
Time Period1 Month [change]
DirectionNegative 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and Sprint Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Sprint 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 Sprint. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sprint has no effect on the direction of Citigroup i.e. Citigroup and Sprint go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
Citigroup  
1 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days.
Sprint  
12 

Risk-Adjusted Performance

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

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See also your portfolio center. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.