This module allows you to analyze existing cross correlation between International Business Machines Corporation and Citigroup Inc. 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
International Business Machine vs Citigroup Inc
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 1.12 times less risky than Citigroup. The stock trades about -0.21 of its potential returns per unit of risk. The Citigroup Inc is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest 7,855 in Citigroup Inc on January 23, 2018 and sell it today you would lose (155.00) from holding Citigroup Inc or give up 1.97% of portfolio value over 30 days.
|Time Period||1 Month [change]|
Almost no 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 Inc 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 Inc has no effect on the direction of International Business i.e. International Business and Citigroup go up and down completely randomly.
Over the last 30 days International Business Machines Corporation has generated negative risk-adjusted returns adding no value to investors with long positions.
Over the last 30 days Citigroup Inc has generated negative risk-adjusted returns adding no value to investors with long positions.