Pair Correlation Between Home Depot and Citigroup

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

Pair Volatility

Allowing for the 30-days total investment horizon, Home Depot is expected to generate 1.98 times less return on investment than Citigroup. But when comparing it to its historical volatility, The Home Depot Inc is 1.67 times less risky than Citigroup. It trades about 0.13 of its potential returns per unit of risk. Citigroup Inc is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest  5,944  in Citigroup Inc on April 24, 2017 and sell it today you would earn a total of  227.00  from holding Citigroup Inc or generate 3.82% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Home Depot and Citigroup
0.48

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

The Home Depot

  
8 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in The Home Depot Inc are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.

Citigroup Inc

  
10 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup Inc are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days.