This module allows you to analyze existing cross correlation between Chevron Corporation and Citigroup Inc. 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
Chevron Corp. vs Citigroup Inc.
Considering 30-days investment horizon, Chevron Corporation is expected to under-perform the Citigroup. But the stock apears to be less risky and, when comparing its historical volatility, Chevron Corporation is 1.27 times less risky than Citigroup. The stock trades about -0.2 of its potential returns per unit of risk. The Citigroup Inc is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest 6,002 in Citigroup Inc on February 27, 2017 and sell it today you would lose (60.00) from holding Citigroup Inc or give up 1.0% of portfolio value over 30 days.
|Time Period||1 Month [change]|
Very weak 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 Inc 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 Inc has no effect on the direction of Chevron i.e. Chevron and Citigroup go up and down completely randomly.
Over the last 30 days Chevron 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.