Pair Correlation Between Wells Fargo and Citigroup

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

Pair Volatility

Considering 30-days investment horizon, Wells Fargo Company is expected to under-perform the Citigroup. In addition to that, Wells Fargo is 1.32 times more volatile than Citigroup Inc. It trades about -0.13 of its total potential returns per unit of risk. Citigroup Inc is currently generating about -0.06 per unit of volatility. If you would invest  7,859  in Citigroup Inc on January 22, 2018 and sell it today you would lose (213.00)  from holding Citigroup Inc or give up 2.71% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Wells Fargo and Citigroup
0.94

Parameters

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

Diversification

Almost no diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Wells Fargo

  
0 

Risk-Adjusted Performance

Over the last 30 days Wells Fargo Company has generated negative risk-adjusted returns adding no value to investors with long positions.

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.