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.
 Time Horizon     30 Days    Login   to change
Symbolsvs

Citigroup Inc  vs.  CVS Health Corp.

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to under-perform the CVS Health. But the stock apears to be less risky and, when comparing its historical volatility, Citigroup is 1.59 times less risky than CVS Health. The stock trades about -0.14 of its potential returns per unit of risk. The CVS Health Corporation is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest  6,557  in CVS Health Corporation on May 23, 2018 and sell it today you would earn a total of  551.00  from holding CVS Health Corporation or generate 8.4% return on investment over 30 days.

Pair Corralation between Citigroup and CVS Health

-0.21
Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Very good 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.

Comparative Volatility

 Predicted Return Density 
      Returns 
Citigroup  
0 

Risk-Adjusted Performance

Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions.
CVS Health  
13 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in CVS Health Corporation are ranked lower than 13 (%) of all global equities and portfolios over the last 30 days.

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Alphabet
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