Correlation Analysis Between B of A and Citigroup

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

Bank Of America  
1515

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Bank Of America Corporation are ranked lower than 15 (%) of all global equities and portfolios over the last 30 days. Despite somewhat weak basic indicators, B of A sustained solid returns over the last few months and may actually be approaching a breakup point.
Citigroup  
88

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days. Despite somewhat conflicting basic indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in January 2020.

B of A and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

Bank Of America Corp.  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Bank Of America Corporation is expected to generate 0.89 times more return on investment than Citigroup. However, Bank Of America Corporation is 1.13 times less risky than Citigroup. It trades about 0.23 of its potential returns per unit of risk. Citigroup is currently generating about 0.13 per unit of risk. If you would invest  2,863  in Bank Of America Corporation on November 6, 2019 and sell it today you would earn a total of  504.00  from holding Bank Of America Corporation or generate 17.6% return on investment over 30 days.

Pair Corralation between B of A and Citigroup

0.98
Time Period3 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for B of A and Citigroup

Bank Of America Corp. diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding Bank Of America Corp. and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and B of A 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 Bank Of America 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 B of A i.e. B of A and Citigroup go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.


 
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