This module allows you to analyze existing cross correlation between Citigroup and International Business Machines Corporation. You can compare the effects of market volatilities on Citigroup and International Business 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 International Business. See also your portfolio center
. Please also check ongoing floating volatility patterns of Citigroup
and International Business
Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions.
Over the last 30 days International Business Machines Corporation has generated negative risk-adjusted returns adding no value to investors with long positions.
Citigroup and International Business Volatility Contrast
Citigroup Inc vs. International Business Machine
Taking into account the 30 trading days horizon, Citigroup is expected to under-perform the International Business. But the stock apears to be less risky and, when comparing its historical volatility, Citigroup is 1.18 times less risky than International Business. The stock trades about -0.27 of its potential returns per unit of risk. The International Business Machines Corporation is currently generating about -0.16 of returns per unit of risk over similar time horizon. If you would invest 14,113 in International Business Machines Corporation on November 14, 2018 and sell it today you would lose (2,040) from holding International Business Machines Corporation or give up 14.45% of portfolio value over 30 days.
Pair Corralation between Citigroup and International Business
|Time Period||2 Months [change]|
Diversification Opportunities for Citigroup and International Business
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and International Business Machine in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on International Business 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 International Business. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of International Business has no effect on the direction of Citigroup i.e. Citigroup and International Business go up and down completely randomly.