Pair Correlation Between Sprint and Citigroup

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

Pair Volatility

Taking into account the 30 trading days horizon, Sprint Corporation is expected to under-perform the Citigroup. In addition to that, Sprint is 1.7 times more volatile than Citigroup Inc. It trades about -0.2 of its total potential returns per unit of risk. Citigroup Inc is currently generating about -0.16 per unit of volatility. If you would invest  6,062  in Citigroup Inc on February 22, 2017 and sell it today you would lose (257.00)  from holding Citigroup Inc or give up 4.24% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between Sprint and Citigroup
0.15

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Average diversification

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

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed    Returns 

Sprint

  
0 

Risk-Adjusted Performance

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

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.