Correlation Analysis Between Citigroup and B of A

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

Citigroup  
11

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days. Despite somewhat strong basic indicators, Citigroup is not utilizing all of its potentials. The current stock price disturbance, may contribute to short term losses for the investors.
Bank Of America  
22

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Bank Of America Corporation are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days. Despite somewhat strong basic indicators, B of A is not utilizing all of its potentials. The current stock price disturbance, may contribute to short term losses for the investors.

Citigroup and B of A Volatility Contrast

 Predicted Return Density 
      Returns 

Citigroup Inc  vs.  Bank Of America Corp.

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 1.64 times less return on investment than B of A. In addition to that, Citigroup is 1.06 times more volatile than Bank Of America Corporation. It trades about 0.02 of its total potential returns per unit of risk. Bank Of America Corporation is currently generating about 0.04 per unit of volatility. If you would invest  3,015  in Bank Of America Corporation on September 23, 2019 and sell it today you would earn a total of  118.00  from holding Bank Of America Corporation or generate 3.91% return on investment over 30 days.

Pair Corralation between Citigroup and B of A

0.96
Time Period3 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Citigroup and B of A

Citigroup Inc diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and Bank Of America Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bank Of America 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 B of A. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Of America has no effect on the direction of Citigroup i.e. Citigroup and B of A go up and down completely randomly.
See also your portfolio center. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.


 
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