Pair Correlation Between Apple and Citigroup

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

Pair Volatility

Given the investment horizon of 30 days, Apple Inc is expected to generate 0.45 times more return on investment than Citigroup. However, Apple Inc is 2.21 times less risky than Citigroup. It trades about 0.29 of its potential returns per unit of risk. Citigroup Inc is currently generating about -0.09 per unit of risk. If you would invest  11,664  in Apple Inc on December 19, 2016 and sell it today you would earn a total of  336.00  from holding Apple Inc or generate 2.88% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Apple and Citigroup
-0.01

Parameters

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

Diversification

Good diversification

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

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.37  0.14  0.31  0.83  0.00  0.32 (0.45)  0.92 (0.66)  1.53 
 0.86 (0.09)  0.00  0.14  0.00 (0.07)  0.00  1.91 (1.74)  3.69 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Apple Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Apple Inc are ranked lower than 19 (%) of all global equities and portfolios over the last 30 days.

Citigroup Inc

  

Risk-adjusted Performance

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