Correlation Analysis Between Citigroup and T

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

Citigroup Inc  vs.  AT&T INC.

 Performance (%) 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to under-perform the T. But the stock apears to be less risky and, when comparing its historical volatility, Citigroup is 1.44 times less risky than T. The stock trades about -0.14 of its potential returns per unit of risk. The T is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest  3,233  in T on May 23, 2018 and sell it today you would lose (53.00)  from holding T or give up 1.64% of portfolio value over 30 days.

Pair Corralation between Citigroup and T

Time Period1 Month [change]
StrengthVery Weak
ValuesDaily Returns


Modest diversification

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

Comparative Volatility

 Predicted Return Density 

Risk-Adjusted Performance

Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions.

Risk-Adjusted Performance

Over the last 30 days T has generated negative risk-adjusted returns adding no value to investors with long positions.

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