Correlation Analysis Between East West and Citigroup

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

Comparative Performance

East West Bancorp  
0

Risk-Adjusted Performance

Over the last 30 days East West Bancorp 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.

East West and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

East West Bancorp Inc  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, East West Bancorp is expected to generate 0.92 times more return on investment than Citigroup. However, East West Bancorp is 1.09 times less risky than Citigroup. It trades about 0.51 of its potential returns per unit of risk. Citigroup is currently generating about 0.4 per unit of risk. If you would invest  4,045  in East West Bancorp on January 21, 2019 and sell it today you would earn a total of  1,522  from holding East West Bancorp or generate 37.63% return on investment over 30 days.

Pair Corralation between East West and Citigroup

0.94
Time Period2 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for East West and Citigroup

East West Bancorp Inc diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding East West Bancorp Inc and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and East West 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 East West 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 has no effect on the direction of East West i.e. East West and Citigroup go up and down completely randomly.

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East West Bancorp

Pair trading matchups for East West

Citigroup

Pair trading matchups for Citigroup

See also your portfolio center. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.


 
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