Citigroup Correlations

C Stock

USD 112.80 5.24 4.44%

The current 90-days correlation between Citigroup and Bank of America is 0.74 (i.e., Poor 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 0.66 (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

0.91	CM	Canadian Imperial Bank	Pair Corr
0.72	NU	Nu Holdings	Pair Corr
0.97	RY	Royal Bank	Pair Corr
0.82	TD	Toronto Dominion Bank	Pair Corr
0.86	WF	Woori Financial Group	Pair Corr
0.85	WSBK	Winchester Bancorp Common	Pair Corr
0.95	FDSB	Fifth District Bancorp	Pair Corr
0.72	FITB	Fifth Third Bancorp Earnings Call This Week	Pair Corr
0.89	BAC	Bank of America	Pair Corr
0.87	BAP	Credicorp	Pair Corr
0.82	BBT	Beacon Financial Earnings Call Next Week	Pair Corr
0.64	BCH	Banco De Chile	Pair Corr
0.81	BCS	Barclays PLC ADR	Pair Corr
0.68	BNS	Bank of Nova Scotia	Pair Corr
0.68	BMA	Banco Macro SA	Pair Corr
0.86	BMO	Bank of Montreal	Pair Corr
0.77	BNS	Bank of Nova Scotia	Pair Corr
0.7	CIB	Grupo Cibest SA	Pair Corr
0.7	CMA	Comerica Incorporated Earnings Call This Week	Pair Corr
0.88	CABP	CAB Payments Holdings	Pair Corr
0.78	ING	ING Group NV	Pair Corr
0.85	JPM	JPMorgan Chase	Pair Corr
0.92	LYG	Lloyds Banking Group	Pair Corr
0.88	NTB	Bank of NT	Pair Corr
0.76	NWG	Natwest Group PLC	Pair Corr
0.78	SAN	Banco Santander SA	Pair Corr
0.8	USB	US Bancorp Sell-off Trend	Pair Corr
0.9	STAN	Standard Chartered PLC	Pair Corr
0.94	WFC	Wells Fargo	Pair Corr

Moving against Citigroup Stock

0.62	601939	China Construction Bank	Pair Corr
0.57	HDB	HDFC Bank Limited	Pair Corr
0.51	IBN	ICICI Bank Limited Earnings Call This Week	Pair Corr
0.86	600016	China Minsheng Banking	Pair Corr
0.81	601169	Bank of Beijing	Pair Corr
0.31	600000	Shanghai Pudong Deve	Pair Corr

Related Correlations Analysis

	BAC	TD	NU	C	CM	BMO	BNS	BCS	UBS
BAC		0.62	0.73	0.89	0.78	0.69	0.58	0.63	0.74	BAC
TD	0.62		0.43	0.82	0.74	0.81	0.96	0.97	0.86	TD
NU	0.73	0.43		0.72	0.69	0.62	0.46	0.46	0.54	NU
C	0.89	0.82	0.72		0.91	0.86	0.77	0.81	0.93	C
CM	0.78	0.74	0.69	0.91		0.83	0.73	0.7	0.86	CM
BMO	0.69	0.81	0.62	0.86	0.83		0.74	0.8	0.91	BMO
BNS	0.58	0.96	0.46	0.77	0.73	0.74		0.96	0.78	BNS
BCS	0.63	0.97	0.46	0.81	0.7	0.8	0.96		0.85	BCS
UBS	0.74	0.86	0.54	0.93	0.86	0.91	0.78	0.85		UBS
	BAC	TD	NU	C	CM	BMO	BNS	BCS	UBS

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
BAC	0.99	(0.07)	(0.04)	0.00	1.50	(0.91)	1.68	(2.28)	5.64
TD	0.69	0.24	0.22	(3.92)	0.39	(0.83)	1.66	(1.15)	4.14
NU	1.49	0.12	0.06	0.23	1.74	(1.58)	3.85	(2.82)	10.26
C	1.34	0.10	0.07	0.13	1.69	(1.30)	2.81	(2.98)	7.22
CM	0.78	0.21	0.14	1.43	0.84	(0.81)	1.52	(1.62)	6.23
BMO	0.80	0.09	0.04	0.49	1.12	(0.76)	1.70	(1.77)	4.05
BNS	0.67	0.24	0.15	(1.55)	0.73	(0.77)	1.65	(1.04)	6.23
BCS	1.05	0.36	0.22	1.71	1.03	(1.19)	2.70	(2.06)	5.65
UBS	1.07	0.25	0.15	3.40	1.07	(1.21)	2.57	(2.07)	6.73

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