Correlation Analysis Between Citigroup and Bank Of Montreal

This module allows you to analyze 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
Symbolsvs
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Comparative Performance

Citigroup  
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Risk-Adjusted Performance

Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest sluggish performance, the Stock's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.
Bank Of Montreal  
00

Risk-Adjusted Performance

Over the last 30 days Bank Of Montreal has generated negative risk-adjusted returns adding no value to investors with long positions. Allthough latest weak performance, the Stock's forward indicators remain persistent and the existing mess on Wall Street may also be a sign of long standing gains for the corporation partners.

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 2.18 times more return on investment than Bank Of Montreal. However, Citigroup is 2.18 times more volatile than Bank Of Montreal. It trades about -0.07 of its potential returns per unit of risk. Bank Of Montreal is currently generating about -0.21 per unit of risk. If you would invest  6,810  in Citigroup on July 20, 2019 and sell it today you would lose (393.00)  from holding Citigroup or give up 5.77% of portfolio value over 30 days.

Pair Corralation between Citigroup and Bank Of Montreal

0.9
Time Period2 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 Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.


 
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