Correlation Analysis Between Citigroup and All Ords

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

 Predicted Return Density 
      Returns 

Citigroup Inc  vs.  All Ords

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 2.05 times less return on investment than All Ords. In addition to that, Citigroup is 1.84 times more volatile than All Ords. It trades about 0.08 of its total potential returns per unit of risk. All Ords is currently generating about 0.3 per unit of volatility. If you would invest  592,430  in All Ords on February 17, 2019 and sell it today you would earn a total of  35,230  from holding All Ords or generate 5.95% return on investment over 30 days.

Pair Corralation between Citigroup and All Ords

0.48
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy82.5%
ValuesDaily Returns

Diversification Opportunities for Citigroup and All Ords

Citigroup Inc diversification synergy

Very weak diversification

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