Correlation Analysis Between Sprint and Citigroup

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

Sprint  
00

Risk-Adjusted Performance

Over the last 30 days Sprint Corporation has generated negative risk-adjusted returns adding no value to investors with long positions. In defiance of relatively invariable forward-looking signals, Sprint is not utilizing all of its potentials. The prevalent stock price agitation, may contribute to short term losses for the management.
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 new stock price disturbance, may contribute to short term losses for the investors.

Sprint and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

Sprint Corp.  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Sprint Corporation is expected to under-perform the Citigroup. In addition to that, Sprint is 1.17 times more volatile than Citigroup. It trades about -0.04 of its total potential returns per unit of risk. Citigroup is currently generating about 0.0 per unit of volatility. If you would invest  7,125  in Citigroup on September 16, 2019 and sell it today you would lose (93.00)  from holding Citigroup or give up 1.31% of portfolio value over 30 days.

Pair Corralation between Sprint and Citigroup

0.21
Time Period3 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Sprint and Citigroup

Sprint Corp. diversification synergy

Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding Sprint Corp. and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Sprint 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 Sprint 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 Sprint i.e. Sprint and Citigroup go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.


 
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