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
Symbolsvs
Check Efficiency

Comparative Performance

Bank of America  
44

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Bank of America Corporation are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days. Despite somewhat strong basic indicators, B of A is not utilizing all of its potentials. The new stock price disturbance, may contribute to short term losses for the investors.
Citigroup  
22

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days. Despite somewhat strong basic indicators, Citigroup is not utilizing all of its potentials. The new stock price disturbance, may contribute to short term losses for the investors.

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 0.96 times more return on investment than Citigroup. However, Bank of America Corporation is 1.04 times less risky than Citigroup. It trades about 0.06 of its potential returns per unit of risk. Citigroup is currently generating about 0.04 per unit of risk. If you would invest  2,780  in Bank of America Corporation on August 22, 2019 and sell it today you would earn a total of  156.00  from holding Bank of America Corporation or generate 5.61% return on investment over 30 days.

Pair Corralation between B of A and Citigroup

0.93
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 Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.


 
Search macroaxis.com