Correlation Analysis Between Citigroup and AEX Amsterdam

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

 Predicted Return Density 
      Returns 

Citigroup Inc  vs.  AEX Amsterdam

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 2.23 times less return on investment than AEX Amsterdam. In addition to that, Citigroup is 1.76 times more volatile than AEX Amsterdam. It trades about 0.08 of its total potential returns per unit of risk. AEX Amsterdam is currently generating about 0.31 per unit of volatility. If you would invest  50,970  in AEX Amsterdam on February 17, 2019 and sell it today you would earn a total of  4,253  from holding AEX Amsterdam or generate 8.34% return on investment over 30 days.

Pair Corralation between Citigroup and AEX Amsterdam

0.62
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy95.24%
ValuesDaily Returns

Diversification Opportunities for Citigroup and AEX Amsterdam

Citigroup Inc diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and AEX Amsterdam in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on AEX Amsterdam and Citigroup 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 Citigroup are associated (or correlated) with AEX Amsterdam. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AEX Amsterdam has no effect on the direction of Citigroup i.e. Citigroup and AEX Amsterdam go up and down completely randomly.
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