Correlation Analysis Between Chevron and Citigroup

This module allows you to analyze existing cross correlation between Chevron Corporation and Citigroup. You can compare the effects of market volatilities on Chevron and Citigroup 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 Chevron with a short position of Citigroup. See also your portfolio center. Please also check ongoing floating volatility patterns of Chevron and Citigroup.
Horizon     30 Days    Login   to change
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Comparative Performance

Chevron  
00

Risk-Adjusted Performance

Over the last 30 days Chevron Corporation has generated negative risk-adjusted returns adding no value to investors with long positions. Inspite fairly strong basic indicators, Chevron is not utilizing all of its potentials. The ongoing stock price disturbance, may contribute to short term losses for the investors.
Citigroup  
11

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days. 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.

Chevron and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

Chevron Corp.  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Chevron Corporation is expected to under-perform the Citigroup. But the stock apears to be less risky and, when comparing its historical volatility, Chevron Corporation is 1.48 times less risky than Citigroup. The stock trades about -0.06 of its potential returns per unit of risk. The Citigroup is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  7,029  in Citigroup on September 15, 2019 and sell it today you would earn a total of  93.00  from holding Citigroup or generate 1.32% return on investment over 30 days.

Pair Corralation between Chevron and Citigroup

0.61
Time Period3 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Chevron and Citigroup

Chevron Corp. diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Chevron Corp. and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Chevron 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 Chevron Corporation are associated (or correlated) with Citigroup. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citigroup has no effect on the direction of Chevron i.e. Chevron and Citigroup go up and down completely randomly.
See also your portfolio center. Please also try World Markets Correlation module to find global opportunities by holding instruments from different markets.


 
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