Correlation Analysis Between Citigroup and Home Depot

This module allows you to analyze existing cross correlation between Citigroup and The Home Depot. You can compare the effects of market volatilities on Citigroup and Home Depot 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 Home Depot. See also your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Home Depot.
 Time Horizon     30 Days    Login   to change
Symbolsvs

Citigroup Inc  vs.  The Home Depot Inc

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to under-perform the Home Depot. In addition to that, Citigroup is 1.67 times more volatile than The Home Depot. It trades about -0.14 of its total potential returns per unit of risk. The Home Depot is currently generating about 0.42 per unit of volatility. If you would invest  18,667  in The Home Depot on May 23, 2018 and sell it today you would earn a total of  1,299  from holding The Home Depot or generate 6.96% return on investment over 30 days.

Pair Corralation between Citigroup and Home Depot

-0.28
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 The Home Depot Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on The Home Depot 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 Home Depot. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of The Home Depot has no effect on the direction of Citigroup i.e. Citigroup and Home Depot 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.
The Home Depot  
27 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in The Home Depot are ranked lower than 27 (%) of all global equities and portfolios over the last 30 days.

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GOOG - USA Stock
Alphabet
Specialization
IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1158.19

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