Correlation Analysis Between Citigroup and ATT

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

Citigroup Inc  vs.  ATT

 Performance (%) 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to under-perform the ATT. In addition to that, Citigroup is 1.12 times more volatile than ATT. It trades about -0.23 of its total potential returns per unit of risk. ATT is currently generating about -0.08 per unit of volatility. If you would invest  3,237  in ATT on November 10, 2018 and sell it today you would lose (223.00)  from holding ATT or give up 6.89% of portfolio value over 30 days.

Pair Corralation between Citigroup and ATT

Time Period2 Months [change]
ValuesDaily Returns


Citigroup Inc diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and ATT in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ATT 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 ATT. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ATT has no effect on the direction of Citigroup i.e. Citigroup and ATT 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 ATT has generated negative risk-adjusted returns adding no value to investors with long positions.

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