Correlation Analysis Between ING Group and Citigroup

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

ING Group N  

Risk-Adjusted Performance

Over the last 30 days ING Group N V has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of weak performance in the last few months, the Stock's fundamental drivers remain rather sound which may send shares a bit higher in September 2019. The ongoing tumult may also be a sign of longer-term up-swing for the firm shareholders.

Risk-Adjusted Performance

Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest sluggish performance, the Stock's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

ING Group and Citigroup Volatility Contrast

 Predicted Return Density 

ING Group N V  vs.  Citigroup Inc

 Performance (%) 

Pair Volatility

Considering 30-days investment horizon, ING Group N V is expected to under-perform the Citigroup. In addition to that, ING Group is 1.03 times more volatile than Citigroup. It trades about -0.22 of its total potential returns per unit of risk. Citigroup is currently generating about -0.09 per unit of volatility. If you would invest  6,810  in Citigroup on July 20, 2019 and sell it today you would lose (462.00)  from holding Citigroup or give up 6.78% of portfolio value over 30 days.

Pair Corralation between ING Group and Citigroup

Time Period2 Months [change]
StrengthVery Strong
ValuesDaily Returns

Diversification Opportunities for ING Group and Citigroup

ING Group N V diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding ING Group N V and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and ING Group 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 ING Group N V 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 ING Group i.e. ING Group and Citigroup go up and down completely randomly.
See also your portfolio center. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.