Citigroup Correlations

C Stock

USD 111.32 0.56 0.51%

The current 90-days correlation between Citigroup and Mitsubishi UFJ Financial is 0.3 (i.e., Weak diversification). The correlation of Citigroup is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Citigroup Correlation With Market

Poor diversification

The correlation between Citigroup and DJI is 0.69 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Citigroup Stock

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Citigroup. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in unemployment.

For information on how to trade Citigroup Stock refer to our How to Trade Citigroup Stock guide.

Moving together with Citigroup Stock

0.82	RY	Royal Bank	Pair Corr
0.69	TD	Toronto Dominion Bank	Pair Corr
0.72	STD	Standard Chartered PLC	Pair Corr
0.72	FDSB	Fifth District Bancorp	Pair Corr
0.78	BCS	Barclays PLC ADR	Pair Corr
0.7	STD0	STANDARD CHARTUNSPADR2	Pair Corr
0.67	ING	ING Group NV	Pair Corr

Moving against Citigroup Stock

0.32

C4C

Bank of Communications Co

Pair Corr

Related Correlations Analysis

	MUFG	RY	WFC	BAC	SAN	HSBC	TD
MUFG		0.55	-0.37	-0.43	0.75	0.85	0.69	MUFG
RY	0.55		0.33	0.16	0.77	0.74	0.91	RY
WFC	-0.37	0.33		0.95	0.04	-0.19	0.03	WFC
BAC	-0.43	0.16	0.95		-0.12	-0.32	-0.13	BAC
SAN	0.75	0.77	0.04	-0.12		0.88	0.79	SAN
HSBC	0.85	0.74	-0.19	-0.32	0.88		0.88	HSBC
TD	0.69	0.91	0.03	-0.13	0.79	0.88		TD
	MUFG	RY	WFC	BAC	SAN	HSBC	TD

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

BAC	+ 0.95	WFC
TD	+ 0.91	RY
HSBC	+ 0.88	SAN
TD	+ 0.88	HSBC
HSBC	+ 0.85	MUFG
TD	+ 0.79	SAN

High negative correlations

BAC	- 0.43	MUFG
WFC	- 0.37	MUFG
HSBC	- 0.32	BAC
HSBC	- 0.19	WFC
TD	- 0.13	BAC
SAN	- 0.12	BAC

Risk-Adjusted Indicators

There is a big difference between Citigroup Stock performing well and Citigroup Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Citigroup's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
MUFG	1.25	0.13	0.07	0.17	1.61	(1.25)	2.37	(2.95)	8.08
RY	0.80	0.10	0.09	0.19	0.89	(0.82)	1.46	(1.55)	4.67
WFC	1.32	(0.07)	0.00	(0.01)	0.00	0.00	2.59	(3.22)	9.12
BAC	1.10	(0.11)	0.00	(0.05)	0.00	0.00	1.86	(2.81)	7.62
SAN	1.70	0.09	0.04	0.09	2.49	(1.71)	3.79	(3.24)	13.37
HSBC	1.26	0.28	0.16	0.26	1.43	(1.33)	2.79	(2.84)	11.92
TD	0.86	0.24	0.25	0.38	0.68	(1.05)	2.03	(1.52)	5.15

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