Correlation Analysis Between JP Morgan and Citigroup

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

JP Morgan Chase  
44

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in JP Morgan Chase Co are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days. Even with considerably weak technical indicators, JP Morgan may actually be approaching a critical reversion point that can send shares even higher in November 2019.
Citigroup  
00

Risk-Adjusted Performance

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

JP Morgan and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

JP Morgan Chase Co  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, JP Morgan Chase Co is expected to generate 0.81 times more return on investment than Citigroup. However, JP Morgan Chase Co is 1.24 times less risky than Citigroup. It trades about 0.07 of its potential returns per unit of risk. Citigroup is currently generating about 0.01 per unit of risk. If you would invest  11,636  in JP Morgan Chase Co on September 21, 2019 and sell it today you would earn a total of  719.00  from holding JP Morgan Chase Co or generate 6.18% return on investment over 30 days.

Pair Corralation between JP Morgan and Citigroup

0.91
Time Period3 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for JP Morgan and Citigroup

JP Morgan Chase Co diversification synergy

Almost no diversification

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