Correlation Analysis Between Citigroup and CVS Health

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

Citigroup  
77

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 7 (%) of all global equities and portfolios over the last 30 days. Despite somewhat sluggish basic indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in January 2020.
CVS Health  
1111

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in CVS Health Corporation are ranked lower than 11 (%) of all global equities and portfolios over the last 30 days. In defiance of relatively fragile forward-looking signals, CVS Health reported solid returns over the last few months and may actually be approaching a breakup point.

Citigroup and CVS Health Volatility Contrast

 Predicted Return Density 
      Returns 

Citigroup Inc  vs.  CVS Health Corp.

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 1.49 times less return on investment than CVS Health. But when comparing it to its historical volatility, Citigroup is 1.04 times less risky than CVS Health. It trades about 0.12 of its potential returns per unit of risk. CVS Health Corporation is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest  6,390  in CVS Health Corporation on November 11, 2019 and sell it today you would earn a total of  928.00  from holding CVS Health Corporation or generate 14.52% return on investment over 30 days.

Pair Corralation between Citigroup and CVS Health

0.89
Time Period3 Months [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Citigroup and CVS Health

Citigroup Inc diversification synergy

Very poor diversification

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