Correlation Analysis Between Citigroup and SPTSX Comp

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

Comparative Performance

 Predicted Return Density 
      Returns 

Citigroup Inc  vs.  SPTSX Comp

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 3.56 times more return on investment than SPTSX Comp. However, Citigroup is 3.56 times more volatile than SPTSX Comp. It trades about 0.14 of its potential returns per unit of risk. SPTSX Comp is currently generating about 0.25 per unit of risk. If you would invest  6,412  in Citigroup on March 25, 2019 and sell it today you would earn a total of  472.00  from holding Citigroup or generate 7.36% return on investment over 30 days.

Pair Corralation between Citigroup and SPTSX Comp

0.67
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy97.14%
ValuesDaily Returns

Diversification Opportunities for Citigroup and SPTSX Comp

Citigroup Inc diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and SPTSX Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SPTSX Comp 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 SPTSX Comp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPTSX Comp has no effect on the direction of Citigroup i.e. Citigroup and SPTSX Comp go up and down completely randomly.
    Optimize
See also your portfolio center. Please also try Crypto Portfolio Optimizer module to optimize portfolio of digital coins and token across multiple currency and exchanges.


 
Search macroaxis.com