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  
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 new stock price disturbance, may contribute to short term losses for the investors.
CVS Health  
00

Risk-Adjusted Performance

Over the last 30 days CVS Health Corporation has generated negative risk-adjusted returns adding no value to investors with long positions. In defiance of relatively invariable forward-looking signals, CVS Health is not utilizing all of its potentials. The prevalent stock price agitation, may contribute to short running losses for the management.

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 under-perform the CVS Health. In addition to that, Citigroup is 1.11 times more volatile than CVS Health Corporation. It trades about -0.04 of its total potential returns per unit of risk. CVS Health Corporation is currently generating about 0.0 per unit of volatility. If you would invest  5,353  in CVS Health Corporation on May 26, 2019 and sell it today you would lose (39.00)  from holding CVS Health Corporation or give up 0.73% of portfolio value over 30 days.

Pair Corralation between Citigroup and CVS Health

0.65
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Citigroup and CVS Health

Citigroup Inc diversification synergy

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.
See also your portfolio center. Please also try Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.


 
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