Correlation Analysis Between Citigroup and International Business

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.
Horizon     30 Days    Login   to change
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Comparative Performance

Citigroup  
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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.
International Business  
00

Risk-Adjusted Performance

Over the last 30 days International Business Machines Corporation has generated negative risk-adjusted returns adding no value to investors with long positions. Even with considerably steady technical indicators, International Business is not utilizing all of its potentials. The late stock price chaos, may contribute to medium term losses for the stakeholders.

Citigroup and International Business Volatility Contrast

 Predicted Return Density 
      Returns 

Citigroup Inc  vs.  International Business Machine

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to under-perform the International Business. In addition to that, Citigroup is 1.35 times more volatile than International Business Machines Corporation. It trades about -0.04 of its total potential returns per unit of risk. International Business Machines Corporation is currently generating about 0.0 per unit of volatility. If you would invest  13,944  in International Business Machines Corporation on May 26, 2019 and sell it today you would lose (9.00)  from holding International Business Machines Corporation or give up 0.06% of portfolio value over 30 days.

Pair Corralation between Citigroup and International Business

0.9
Time Period2 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Citigroup and International Business

Citigroup Inc diversification synergy

Almost no 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.
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