Pair Correlation Between Cortland Bancorp and Citigroup

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

Pair Volatility

Given the investment horizon of 30 days, Cortland Bancorp is expected to under-perform the Citigroup. In addition to that, Cortland Bancorp is 1.68 times more volatile than Citigroup Inc. It trades about -0.01 of its total potential returns per unit of risk. Citigroup Inc is currently generating about 0.12 per unit of volatility. If you would invest  7,140  in Citigroup Inc on September 22, 2017 and sell it today you would earn a total of  213  from holding Citigroup Inc or generate 2.98% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Cortland Bancorp and Citigroup
-0.04

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Good diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Cortland Bancorp

  
0 

Risk-Adjusted Performance

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

Citigroup Inc

  
8 

Risk-Adjusted Performance

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