Correlation Analysis Between Citigroup and Sprint

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

Citigroup Inc  vs.  Sprint Corp.

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to under-perform the Sprint. But the stock apears to be less risky and, when comparing its historical volatility, Citigroup is 1.22 times less risky than Sprint. The stock trades about -0.27 of its potential returns per unit of risk. The Sprint Corporation is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest  628.00  in Sprint Corporation on November 12, 2018 and sell it today you would lose (24.00)  from holding Sprint Corporation or give up 3.82% of portfolio value over 30 days.

Pair Corralation between Citigroup and Sprint

0.64
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Citigroup Inc diversification synergy

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 
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.
Sprint  
0

Risk-Adjusted Performance

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

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GOOG - USA Stock
Alphabet
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IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1063.68

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