Correlation Analysis Between CVS Health and Citigroup

This module allows you to analyze existing cross correlation between CVS Health Corporation and Citigroup. You can compare the effects of market volatilities on CVS Health 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 CVS Health with a short position of Citigroup. See also your portfolio center. Please also check ongoing floating volatility patterns of CVS Health and Citigroup.
Horizon     30 Days    Login   to change
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Comparative Performance

CVS Health  
1313

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in CVS Health Corporation are ranked lower than 13 (%) of all global equities and portfolios over the last 30 days. In defiance of relatively fragile forward-looking signals, CVS Health reported solid returns over the last few months and may actually be approaching a breakup point.
Citigroup  
77

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 7 (%) of all global equities and portfolios over the last 30 days. Despite somewhat sluggish basic indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in January 2020.

CVS Health and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

CVS Health Corp.  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, CVS Health Corporation is expected to generate 1.01 times more return on investment than Citigroup. However, CVS Health is 1.01 times more volatile than Citigroup. It trades about 0.2 of its potential returns per unit of risk. Citigroup is currently generating about 0.11 per unit of risk. If you would invest  6,368  in CVS Health Corporation on November 6, 2019 and sell it today you would earn a total of  1,080  from holding CVS Health Corporation or generate 16.96% return on investment over 30 days.

Pair Corralation between CVS Health and Citigroup

0.87
Time Period3 Months [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for CVS Health and Citigroup

CVS Health Corp. diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding CVS Health Corp. and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and CVS Health 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 CVS Health Corporation 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 has no effect on the direction of CVS Health i.e. CVS Health and Citigroup go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.


 
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