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.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Wells Fargo Company  vs   Citigroup Inc
 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Wells Fargo is expected to generate 23.44 times less return on investment than Citigroup. But when comparing it to its historical volatility, Wells Fargo Company is 1.22 times less risky than Citigroup. It trades about 0.0 of its potential returns per unit of risk. Citigroup Inc is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  7,146  in Citigroup Inc on September 20, 2017 and sell it today you would earn a total of  142  from holding Citigroup Inc or generate 1.99% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Wells Fargo and Citigroup
0.76

Parameters

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

Diversification

Poor 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

  
5 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup Inc are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days.