Pair Correlation Between American Airlines and Citigroup

This module allows you to analyze existing cross correlation between American Airlines Group Inc and Citigroup Inc. You can compare the effects of market volatilities on American Airlines 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 American Airlines with a short position of Citigroup. See also your portfolio center. Please also check ongoing floating volatility patterns of American Airlines and Citigroup.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 American Airlines Group Inc.  vs   Citigroup Inc.
 Performance (%) 
Benchmark  Embed    Timeline 

Pair Volatility

Considering 30-days investment horizon, American Airlines Group Inc is expected to generate 1.72 times more return on investment than Citigroup. However, American Airlines is 1.72 times more volatile than Citigroup Inc. It trades about 0.12 of its potential returns per unit of risk. Citigroup Inc is currently generating about 0.01 per unit of risk. If you would invest  4,196  in American Airlines Group Inc on March 29, 2017 and sell it today you would earn a total of  202.00  from holding American Airlines Group Inc or generate 4.81% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between American Airlines and Citigroup
-0.22

Parameters

Time Period1 Month [change]
DirectionNegative AAL Moved Down vs C
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Very good diversification

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

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed    Returns 

American Airlines Group

  
8 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in American Airlines Group Inc are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.

Citigroup Inc

  
0 

Risk-Adjusted Performance

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