Correlation Analysis Between East West and Citigroup

Analyzing existing cross correlation between East West Bancorp and Citigroup. You can compare the effects of market volatilities on East West 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 East West with a short position of Citigroup. See also your portfolio center. Please also check ongoing floating volatility patterns of East West and Citigroup.
Horizon     30 Days    Login   to change
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Comparative Performance

East West Bancorp  
1010

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in East West Bancorp are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days. Despite somewhat weak basic indicators, East West sustained solid returns over the last few months and may actually be approaching a breakup point.
Citigroup  
99

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 9 (%) of all global equities and portfolios over the last 30 days. Despite somewhat sluggish basic indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in February 2020.

East West and Citigroup Volatility Contrast

 Predicted Return Density 
    
  Returns 

East West Bancorp Inc  vs.  Citigroup Inc

 Performance (%) 
    
  Timeline 

Pair Volatility

Given the investment horizon of 30 days, East West Bancorp is expected to generate 1.63 times more return on investment than Citigroup. However, East West is 1.63 times more volatile than Citigroup. It trades about 0.16 of its potential returns per unit of risk. Citigroup is currently generating about 0.14 per unit of risk. If you would invest  4,357  in East West Bancorp on December 24, 2019 and sell it today you would earn a total of  736.00  from holding East West Bancorp or generate 16.89% return on investment over 30 days.

Pair Corralation between East West and Citigroup

0.87
Time Period3 Months [change]
DirectionPositive 
StrengthStrong
Accuracy98.39%
ValuesDaily Returns

Diversification Opportunities for East West and Citigroup

East West Bancorp Inc diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding East West Bancorp Inc and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and East West 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 East West Bancorp 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 East West i.e. East West and Citigroup go up and down completely randomly.
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