Correlation Analysis Between Citigroup and Bank Of Montreal

Analyzing existing cross correlation between Citigroup and Bank Of Montreal. You can compare the effects of market volatilities on Citigroup and Bank Of Montreal 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 Bank Of Montreal. See also your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Bank Of Montreal.
Horizon     30 Days    Login   to change
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Comparative Performance

Citigroup  
1313

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 13 (%) of all global equities and portfolios over the last 30 days. Despite somewhat conflicting basic indicators, Citigroup sustained solid returns over the last few months and may actually be approaching a breakup point.
Bank Of Montreal  
1212

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Bank Of Montreal are ranked lower than 12 (%) of all global equities and portfolios over the last 30 days. Allthough quite unsteady forward indicators, Bank Of Montreal may actually be approaching a critical reversion point that can send shares even higher in February 2020.

Citigroup and Bank Of Montreal Volatility Contrast

 Predicted Return Density 
    
  Returns 

Citigroup Inc  vs.  Bank Of Montreal

 Performance (%) 
    
  Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 1.84 times more return on investment than Bank Of Montreal. However, Citigroup is 1.84 times more volatile than Bank Of Montreal. It trades about 0.2 of its potential returns per unit of risk. Bank Of Montreal is currently generating about 0.19 per unit of risk. If you would invest  7,181  in Citigroup on December 19, 2019 and sell it today you would earn a total of  931.00  from holding Citigroup or generate 12.96% return on investment over 30 days.

Pair Corralation between Citigroup and Bank Of Montreal

0.92
Time Period3 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Citigroup and Bank Of Montreal

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 Montreal in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bank Of Montreal 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 Bank Of Montreal. 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 Montreal has no effect on the direction of Citigroup i.e. Citigroup and Bank Of Montreal go up and down completely randomly.
See also your portfolio center. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.