Correlation Between East West and Citigroup

By 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. Check out your portfolio center. Please also check ongoing floating volatility patterns of East West and Citigroup.

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Can any of the company-specific risk be diversified away by investing in both East West and Citigroup at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining East West and Citigroup into the same portfolio, which is an essential part of the fundamental portfolio management process.

Diversification Opportunities for East West and Citigroup

0.9
  Correlation Coefficient
East West Bancorp
Citigroup

Almost no diversification

The 3 months correlation between East West and Citigroup is 0.9. 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.

Pair Corralation between East West and Citigroup

Given the investment horizon of 30 days, East West Bancorp is expected to generate 1.03 times more return on investment than Citigroup. However, East West is 1.03 times more volatile than Citigroup. It trades about 0.1 of its potential returns per unit of risk. Citigroup is currently generating about 0.08 per unit of risk. If you would invest  2,755  in East West Bancorp on June 7, 2020 and sell it today you would earn a total of  761.00  from holding East West Bancorp or generate 27.62% return on investment over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

East West Bancorp Inc  vs.  Citigroup Inc

 Performance (%) 
      Timeline 
East West Bancorp 
77

East West Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in East West Bancorp are ranked lower than 7 (%) 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 
55

Citigroup Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days. Despite somewhat weak basic indicators, Citigroup sustained solid returns over the last few months and may actually be approaching a breakup point.

East West and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 
Check out your portfolio center. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.


 
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