Correlation Analysis Between Chevron and Citigroup

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

Comparative Performance

Chevron  
0

Risk-Adjusted Performance

Over the last 30 days Chevron 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.

Chevron and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

Chevron Corp.  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Chevron is expected to generate 1.86 times less return on investment than Citigroup. In addition to that, Chevron is 1.03 times more volatile than Citigroup. It trades about 0.14 of its total potential returns per unit of risk. Citigroup is currently generating about 0.26 per unit of volatility. 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 Chevron and Citigroup

0.74
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Chevron and Citigroup

Chevron Corp. diversification synergy

Poor diversification

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

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Chevron Corporation

Pair trading matchups for Chevron

Citigroup

Pair trading matchups for Citigroup

See also your portfolio center. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.


 
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