Correlation Analysis Between Citigroup and Swiss Mrt

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

 Predicted Return Density 
      Returns 

Citigroup Inc  vs.  Swiss Mrt

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to under-perform the Swiss Mrt. In addition to that, Citigroup is 2.22 times more volatile than Swiss Mrt. It trades about -0.07 of its total potential returns per unit of risk. Swiss Mrt is currently generating about -0.03 per unit of volatility. If you would invest  992,283  in Swiss Mrt on July 21, 2019 and sell it today you would lose (9,724)  from holding Swiss Mrt or give up 0.98% of portfolio value over 30 days.

Pair Corralation between Citigroup and Swiss Mrt

0.72
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Citigroup and Swiss Mrt

Citigroup Inc diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and Swiss Mrt in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Swiss Mrt 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 Swiss Mrt. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swiss Mrt has no effect on the direction of Citigroup i.e. Citigroup and Swiss Mrt go up and down completely randomly.
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See also your portfolio center. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.


 
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