Correlation Analysis Between Deutsche Bank and Citigroup

This module allows you to analyze existing cross correlation between Deutsche Bank Aktiengesellschaft and Citigroup. 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.
 Time Horizon     30 Days    Login   to change
Symbolsvs

Deutsche Bank Aktiengesellscha  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, Deutsche Bank Aktiengesellschaft is expected to under-perform the Citigroup. In addition to that, Deutsche Bank is 1.95 times more volatile than Citigroup. It trades about -0.27 of its total potential returns per unit of risk. Citigroup is currently generating about -0.22 per unit of volatility. If you would invest  7,043  in Citigroup on May 19, 2018 and sell it today you would lose (409.00)  from holding Citigroup or give up 5.81% of portfolio value over 30 days.

Pair Corralation between Deutsche Bank and Citigroup

0.92
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy90.48%
ValuesDaily Returns

Diversification

Almost no diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 
Deutsche Bank Aktien  
0 

Risk-Adjusted Performance

Over the last 30 days Deutsche Bank Aktiengesellschaft has generated negative risk-adjusted returns adding no value to investors with long positions.
Citigroup  
0 

Risk-Adjusted Performance

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

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