Pair Correlation Between Citigroup and Visa

This module allows you to analyze existing cross correlation between Citigroup Inc and Visa Inc. You can compare the effects of market volatilities on Citigroup and Visa 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 Visa. See also your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Visa.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Citigroup Inc  vs   Visa Inc
 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup Inc is expected to generate 1.57 times more return on investment than Visa. However, Citigroup is 1.57 times more volatile than Visa Inc. It trades about 0.1 of its potential returns per unit of risk. Visa Inc is currently generating about 0.13 per unit of risk. If you would invest  7,176  in Citigroup Inc on September 21, 2017 and sell it today you would earn a total of  177  from holding Citigroup Inc or generate 2.47% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Citigroup and Visa
0.36

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy95.65%
ValuesDaily Returns

Diversification

Weak diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Citigroup Inc

  
7 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup Inc are ranked lower than 7 (%) of all global equities and portfolios over the last 30 days.

Visa Inc

  
8 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Visa Inc are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.