Correlation Analysis Between Citigroup and CVS Health

This module allows you to analyze existing cross correlation between Citigroup and CVS Health Corporation. You can compare the effects of market volatilities on Citigroup and CVS Health 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 CVS Health. See also your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and CVS Health.
Horizon     30 Days    Login   to change
Symbolsvs
Compare Efficiency

Comparative Performance

Citigroup  
0

Risk-Adjusted Performance

Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions.
CVS Health  
0

Risk-Adjusted Performance

Over the last 30 days CVS Health Corporation has generated negative risk-adjusted returns adding no value to investors with long positions.

Citigroup and CVS Health Volatility Contrast

 Predicted Return Density 
      Returns 

Citigroup Inc  vs.  CVS Health Corp.

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 1.02 times more return on investment than CVS Health. However, Citigroup is 1.02 times more volatile than CVS Health Corporation. It trades about 0.26 of its potential returns per unit of risk. CVS Health Corporation is currently generating about 0.03 per unit of risk. If you would invest  5,282  in Citigroup on January 18, 2019 and sell it today you would earn a total of  1,145  from holding Citigroup or generate 21.68% return on investment over 30 days.

Pair Corralation between Citigroup and CVS Health

-0.14
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Citigroup and CVS Health

Citigroup Inc diversification synergy

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and CVS Health Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CVS Health 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 CVS Health. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CVS Health has no effect on the direction of Citigroup i.e. Citigroup and CVS Health go up and down completely randomly.

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Citigroup

Pair trading matchups for Citigroup

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