This module allows you to analyze existing cross correlation between Citigroup Inc 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
Citigroup Inc vs International Business Machine
Taking into account the 30 trading days horizon, Citigroup Inc is expected to generate 0.7 times more return on investment than International Business. However, Citigroup Inc is 1.43 times less risky than International Business. It trades about -0.23 of its potential returns per unit of risk. International Business Machines Corporation is currently generating about -0.48 per unit of risk. If you would invest 7,353 in Citigroup Inc on October 20, 2017 and sell it today you would lose (220) from holding Citigroup Inc or give up 2.99% of portfolio value over 30 days.
|Time Period||1 Month [change]|
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 Inc 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.
Over the last 30 days Citigroup Inc 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.