This module allows you to analyze existing cross correlation between Citigroup and XU100. You can compare the effects of market volatilities on Citigroup and XU100 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 XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and XU100.
|Horizon||30 Days Login to change|
Predicted Return Density
Citigroup Inc vs. XU100
Taking into account the 30 trading days horizon, Citigroup is expected to generate 2.73 times less return on investment than XU100. In addition to that, Citigroup is 3.14 times more volatile than XU100. It trades about 0.04 of its total potential returns per unit of risk. XU100 is currently generating about 0.34 per unit of volatility. If you would invest 10,060,499 in XU100 on August 17, 2019 and sell it today you would earn a total of 150,263 from holding XU100 or generate 1.49% return on investment over 30 days.
Pair Corralation between Citigroup and XU100
|Time Period||3 Months [change]|
Diversification Opportunities for Citigroup and XU100
Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of Citigroup i.e. Citigroup and XU100 go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.