CITIGROUP Correlations

172967KJ9

100.52 0.65 0.65%

The current 90-days correlation between CITIGROUP INC 46 and Summit Materials is 0.07 (i.e., Significant 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

Significant diversification

The correlation between CITIGROUP INC 46 and DJI is 0.08 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding CITIGROUP INC 46 and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to CITIGROUP could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace CITIGROUP when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back CITIGROUP - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling CITIGROUP INC 46 to buy it.

Moving against CITIGROUP Bond

0.48	JPM	JPMorgan Chase	Pair Corr
0.47	MNPR	Monopar Therapeutics	Pair Corr
0.47	CSCO	Cisco Systems	Pair Corr
0.46	AXP	American Express	Pair Corr
0.37	BA	Boeing	Pair Corr

Related Correlations Analysis

	SUM	APTV	BWA	SIM	CPAC	PCAR	UEC	SAND
SUM		-0.2	-0.31	-0.38	0.03	0.52	-0.17	-0.55	SUM
APTV	-0.2		-0.35	0.08	-0.41	-0.4	-0.24	0.29	APTV
BWA	-0.31	-0.35		0.12	0.54	0.47	0.61	0.34	BWA
SIM	-0.38	0.08	0.12		-0.11	-0.14	0.28	0.14	SIM
CPAC	0.03	-0.41	0.54	-0.11		0.38	0.49	0.1	CPAC
PCAR	0.52	-0.4	0.47	-0.14	0.38		0.4	-0.18	PCAR
UEC	-0.17	-0.24	0.61	0.28	0.49	0.4		0.23	UEC
SAND	-0.55	0.29	0.34	0.14	0.1	-0.18	0.23		SAND
	SUM	APTV	BWA	SIM	CPAC	PCAR	UEC	SAND

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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

UEC	+ 0.61	BWA
CPAC	+ 0.54	BWA
PCAR	+ 0.52	SUM
UEC	+ 0.49	CPAC
PCAR	+ 0.47	BWA
UEC	+ 0.4	PCAR

High negative correlations

SAND	- 0.55	SUM
CPAC	- 0.41	APTV
PCAR	- 0.4	APTV
SIM	- 0.38	SUM
BWA	- 0.35	APTV
BWA	- 0.31	SUM

Risk-Adjusted Indicators

There is a big difference between CITIGROUP Bond performing well and CITIGROUP Corporate Bond 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
SUM	0.94	0.39	0.31	9.77	0.15	(1.02)	4.18	(1.76)	9.88
APTV	1.46	(0.11)	0.00	(0.70)	0.00	0.00	2.12	(2.55)	19.29
BWA	1.30	(0.05)	0.00	(0.05)	0.00	0.00	2.42	(3.14)	7.00
SIM	1.72	(0.13)	0.00	(3.57)	0.00	0.00	3.84	(5.26)	16.16
CPAC	1.50	0.14	0.01	(0.30)	1.68	(1.71)	3.81	(2.90)	9.37
PCAR	1.19	0.11	0.05	0.30	1.27	(1.35)	3.10	(2.43)	10.82
UEC	3.00	(0.10)	0.00	(0.20)	0.00	0.00	5.98	(5.34)	25.64
SAND	1.48	(0.18)	0.00	(0.35)	0.00	0.00	2.60	(3.65)	11.32

Be your own money manager

Our tools can tell you how much better you can do entering a position in CITIGROUP without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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