Pair Correlation Between Alphabet and Citigroup

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

Pair Volatility

Given the investment horizon of 30 days, Alphabet Inc is expected to generate 0.41 times more return on investment than Citigroup. However, Alphabet Inc is 2.47 times less risky than Citigroup. It trades about 0.46 of its potential returns per unit of risk. Citigroup Inc is currently generating about 0.01 per unit of risk. If you would invest  91,500  in Alphabet Inc on September 17, 2017 and sell it today you would earn a total of  7,700  from holding Alphabet Inc or generate 8.42% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Alphabet and Citigroup
0.68

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 Alphabet Inc and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup Inc and Alphabet 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 Alphabet Inc 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 Alphabet i.e. Alphabet and Citigroup go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Alphabet Inc

  
31 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Alphabet Inc are ranked lower than 31 (%) 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.