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
Symbolsvs
 Sprint Corp.  vs   Citigroup Inc.
 Performance (%) 
Benchmark  Embed    Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Sprint Corporation is expected to generate 1.01 times more return on investment than Citigroup. However, Sprint is 1.01 times more volatile than Citigroup Inc. It trades about 0.21 of its potential returns per unit of risk. Citigroup Inc is currently generating about 0.08 per unit of risk. If you would invest  829.00  in Sprint Corporation on March 26, 2017 and sell it today you would earn a total of  42.00  from holding Sprint Corporation or generate 5.07% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Sprint and Citigroup
0.22

Parameters

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

Diversification

Modest 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

  
14 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Sprint Corporation are ranked lower than 14 (%) of all global equities and portfolios over the last 30 days.

Citigroup Inc

  
5 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup Inc are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days.