Pair Correlation Between Deutsche Bank and Citigroup

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

Pair Volatility

Allowing for the 30-days total investment horizon, Deutsche Bank AG is expected to generate 0.81 times more return on investment than Citigroup. However, Deutsche Bank AG is 1.24 times less risky than Citigroup. It trades about 0.03 of its potential returns per unit of risk. Citigroup Inc is currently generating about 0.01 per unit of risk. If you would invest  1,657  in Deutsche Bank AG on September 17, 2017 and sell it today you would earn a total of  15  from holding Deutsche Bank AG or generate 0.91% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Deutsche Bank and Citigroup
0.74

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy3.93%
ValuesDaily Returns

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Deutsche Bank AG and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup Inc and Deutsche Bank 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 Deutsche Bank AG 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 Deutsche Bank i.e. Deutsche Bank and Citigroup go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Deutsche Bank AG

  
2 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Deutsche Bank AG are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days.

Citigroup Inc

  
0 

Risk-Adjusted Performance

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