Pair Correlation Between Chevron and Citigroup

This module allows you to analyze existing cross correlation between Chevron Corporation and Citigroup Inc. 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.
 Time Horizon     30 Days    Login   to change
 Chevron Corp.  vs   Citigroup Inc
 Performance (%) 

Pair Volatility

Considering 30-days investment horizon, Chevron Corporation is expected to generate 1.1 times more return on investment than Citigroup. However, Chevron is 1.1 times more volatile than Citigroup Inc. It trades about 0.1 of its potential returns per unit of risk. Citigroup Inc is currently generating about -0.19 per unit of risk. If you would invest  11,253  in Chevron Corporation on February 15, 2018 and sell it today you would earn a total of  287.00  from holding Chevron Corporation or generate 2.55% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Chevron and Citigroup


Time Period1 Month [change]
ValuesDaily Returns


Very good 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 Inc 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 Inc has no effect on the direction of Chevron i.e. Chevron and Citigroup go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 



Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Chevron Corporation are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.

Citigroup Inc


Risk-Adjusted Performance

Over the last 30 days Citigroup Inc has generated negative risk-adjusted returns adding no value to investors with long positions.