Correlation Analysis Between ATT and Citigroup

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

ATT  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, ATT is expected to generate 0.99 times more return on investment than Citigroup. However, ATT is 1.01 times less risky than Citigroup. It trades about -0.08 of its potential returns per unit of risk. Citigroup is currently generating about -0.25 per unit of risk. If you would invest  3,225  in ATT on November 12, 2018 and sell it today you would lose (209.68)  from holding ATT or give up 6.5% of portfolio value over 30 days.

Pair Corralation between ATT and Citigroup

0.78
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

ATT diversification synergy

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 
ATT  
0

Risk-Adjusted Performance

Over the last 30 days ATT 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
$1072.25

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