Correlation Analysis Between International Business and Citigroup

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

International Business  
00

Risk-Adjusted Performance

Over the last 30 days International Business Machines Corporation has generated negative risk-adjusted returns adding no value to investors with long positions. Even with considerably steady technical indicators, International Business is not utilizing all of its potentials. The late stock price chaos, may contribute to medium term losses for the stakeholders.
Citigroup  
88

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days. Despite somewhat sluggish basic indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in June 2019.

International Business and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

International Business Machine  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, International Business Machines Corporation is expected to under-perform the Citigroup. But the stock apears to be less risky and, when comparing its historical volatility, International Business Machines Corporation is 1.3 times less risky than Citigroup. The stock trades about -0.03 of its potential returns per unit of risk. The Citigroup is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest  6,098  in Citigroup on April 21, 2019 and sell it today you would earn a total of  485.00  from holding Citigroup or generate 7.95% return on investment over 30 days.

Pair Corralation between International Business and Citigroup

0.03
Time Period2 Months [change]
DirectionPositive 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for International Business and Citigroup

International Business Machine diversification synergy

Significant diversification

Overlapping area represents the amount of risk that can be diversified away by holding International Business Machine and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and International Business 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 International Business Machines 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 International Business i.e. International Business and Citigroup go up and down completely randomly.
See also your portfolio center. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.


 
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