Correlation Analysis Between Chevron and Citigroup

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

Chevron  
00

Risk-Adjusted Performance

Over the last 30 days Chevron Corporation has generated negative risk-adjusted returns adding no value to investors with long positions. Inspite latest unsteady performance, the Stock's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.
Citigroup  
00

Risk-Adjusted Performance

Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest sluggish performance, the Stock's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

Chevron and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

Chevron Corp.  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Chevron Corporation is expected to under-perform the Citigroup. But the stock apears to be less risky and, when comparing its historical volatility, Chevron Corporation is 1.5 times less risky than Citigroup. The stock trades about -0.11 of its potential returns per unit of risk. The Citigroup is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest  6,741  in Citigroup on July 22, 2019 and sell it today you would lose (384.00)  from holding Citigroup or give up 5.7% of portfolio value over 30 days.

Pair Corralation between Chevron and Citigroup

0.84
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Chevron and Citigroup

Chevron Corp. diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Chevron Corp. and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Chevron 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 Chevron 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 Chevron i.e. Chevron and Citigroup go up and down completely randomly.
See also your portfolio center. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.


 
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