This module allows you to analyze existing cross correlation between Citigroup and American Airlines Group. You can compare the effects of market volatilities on Citigroup and American Airlines 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 Citigroup with a short position of American Airlines. See also your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and American Airlines.
Taking into account the 30 trading days horizon, Citigroup is expected to under-perform the American Airlines. But the stock apears to be less risky and, when comparing its historical volatility, Citigroup is 1.7 times less risky than American Airlines. The stock trades about -0.03 of its potential returns per unit of risk. The American Airlines Group is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 3,804 in American Airlines Group on July 21, 2018 and sell it today you would lose (25.00) from holding American Airlines Group or give up 0.66% of portfolio value over 30 days.
Pair Corralation between Citigroup and American Airlines
Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and American Airlines Group Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on American Airlines Group and Citigroup 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 Citigroup are associated (or correlated) with American Airlines. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of American Airlines Group has no effect on the direction of Citigroup i.e. Citigroup and American Airlines go up and down completely randomly.
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