Two Equities Correlation Analysis
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C.MX
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This model provides you with a quick lookup of cross correlation between two equities. Please specify two instruments to run the correlation.
Diversification Opportunities for Citigroup and NYSE Composite
0.82 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and NYSE is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and NYSE Composite in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NYSE Composite 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 NYSE Composite. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NYSE Composite has no effect on the direction of Citigroup i.e., Citigroup and NYSE Composite go up and down completely randomly.
Pair Corralation between Citigroup and NYSE Composite
Given the investment horizon of 90 days Citigroup is expected to generate 2.69 times more return on investment than NYSE Composite. However, Citigroup is 2.69 times more volatile than NYSE Composite. It trades about 0.08 of its potential returns per unit of risk. NYSE Composite is currently generating about -0.19 per unit of risk. If you would invest 101,501 in Citigroup on January 24, 2024 and sell it today you would earn a total of 2,699 from holding Citigroup or generate 2.66% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.0% |
| Values | Daily Returns |
Citigroup vs. NYSE Composite
Performance |
| Timeline |
Citigroup and NYSE Composite Volatility Contrast
Predicted Return Density |
| Returns |
Citigroup
Pair trading matchups for Citigroup
NYSE Composite
Pair trading matchups for NYSE Composite
Pair Trading with Citigroup and NYSE Composite
The main advantage of trading using opposite Citigroup and NYSE Composite positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, NYSE Composite can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in NYSE Composite will offset losses from the drop in NYSE Composite's long position.| Citigroup vs. Verizon Communications | Citigroup vs. Martin Marietta Materials | Citigroup vs. Hoteles City Express | Citigroup vs. McEwen Mining |
| NYSE Composite vs. Reservoir Media | NYSE Composite vs. National CineMedia | NYSE Composite vs. Ubisoft Entertainment | NYSE Composite vs. Emerson Radio |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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