Correlation Analysis Between International Business and Citigroup

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

International Business Machine  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, International Business Machines Corporation is expected to generate 1.18 times more return on investment than Citigroup. However, International Business is 1.18 times more volatile than Citigroup. It trades about -0.1 of its potential returns per unit of risk. Citigroup is currently generating about -0.19 per unit of risk. If you would invest  13,535  in International Business Machines Corporation on November 11, 2018 and sell it today you would lose (1,350)  from holding International Business Machines Corporation or give up 9.97% of portfolio value over 30 days.

Pair Corralation between International Business and Citigroup

0.73
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

International Business Machine diversification synergy

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 
International Business  
0

Risk-Adjusted Performance

Over the last 30 days International Business Machines Corporation 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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GOOG - USA Stock
Alphabet
Specialization
IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1051.75

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