Correlation Analysis Between Citigroup and Barclays PLC

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

Citigroup  
00

Risk-Adjusted Performance

Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Citigroup is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short term losses for the investors.
Barclays PLC  
55

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Barclays PLC are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days. In defiance of relatively weak forward-looking signals, Barclays PLC may actually be approaching a critical reversion point that can send shares even higher in November 2019.

Citigroup and Barclays PLC Volatility Contrast

 Predicted Return Density 
      Returns 

Citigroup Inc  vs.  Barclays PLC

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 6.69 times less return on investment than Barclays PLC. But when comparing it to its historical volatility, Citigroup is 1.13 times less risky than Barclays PLC. It trades about 0.01 of its potential returns per unit of risk. Barclays PLC is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  775.00  in Barclays PLC on September 21, 2019 and sell it today you would earn a total of  77.00  from holding Barclays PLC or generate 9.94% return on investment over 30 days.

Pair Corralation between Citigroup and Barclays PLC

0.85
Time Period3 Months [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Citigroup and Barclays PLC

Citigroup Inc diversification synergy

Very poor diversification

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