Correlation Analysis Between Bank Of Montreal and Citigroup

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

Comparative Performance

Bank Of Montreal  
1010

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Bank Of Montreal are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days. Allthough quite weak forward indicators, Bank Of Montreal may actually be approaching a critical reversion point that can send shares even higher in December 2019.
Citigroup  
1414

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 14 (%) of all global equities and portfolios over the last 30 days. Despite somewhat sluggish basic indicators, Citigroup sustained solid returns over the last few months and may actually be approaching a breakup point.

Bank Of Montreal and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

Bank Of Montreal  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Bank Of Montreal is expected to generate 2.4 times less return on investment than Citigroup. But when comparing it to its historical volatility, Bank Of Montreal is 1.64 times less risky than Citigroup. It trades about 0.15 of its potential returns per unit of risk. Citigroup is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest  6,141  in Citigroup on October 13, 2019 and sell it today you would earn a total of  1,419  from holding Citigroup or generate 23.11% return on investment over 30 days.

Pair Corralation between Bank Of Montreal and Citigroup

0.94
Time Period3 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Bank Of Montreal and Citigroup

Bank Of Montreal diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding Bank Of Montreal and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Bank Of Montreal 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 Montreal 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 Bank Of Montreal i.e. Bank Of Montreal and Citigroup go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.


 
Search macroaxis.com