Correlation Analysis Between CVS Health and Citigroup

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

Comparative Performance

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  
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 and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

CVS Health Corp.  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, CVS Health is expected to generate 9.58 times less return on investment than Citigroup. But when comparing it to its historical volatility, CVS Health Corporation is 1.02 times less risky than Citigroup. It trades about 0.03 of its potential returns per unit of risk. Citigroup is currently generating about 0.26 of returns per unit of risk over similar time horizon. 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 CVS Health and Citigroup

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

Diversification Opportunities for CVS Health and Citigroup

CVS Health Corp. diversification synergy

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding CVS Health Corp. and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and CVS Health 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 CVS Health 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 CVS Health i.e. CVS Health and Citigroup go up and down completely randomly.

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Citigroup

Pair trading matchups for Citigroup

See also your portfolio center. Please also try Portfolio Reporting module to create custom reports across your portfolios and generate quick suggestion pitch.


 
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