CITIGROUP Correlations

172967KR1

88.57 2.07 2.28%

The current 90-days correlation between CITIGROUP INC 475 and AEP TEX INC is -0.55 (i.e., Excellent 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 475 and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding CITIGROUP INC 475 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 475 to buy it.

Moving together with CITIGROUP Bond

0.64	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.71	PFE	Pfizer Inc Aggressive Push	Pair Corr
0.74	KO	Coca Cola Aggressive Push	Pair Corr

Moving against CITIGROUP Bond

0.72	JPM	JPMorgan Chase Sell-off Trend	Pair Corr
0.71	DIS	Walt Disney Aggressive Push	Pair Corr
0.66	TRV	The Travelers Companies Fiscal Year End 17th of January 2025	Pair Corr
0.66	HPQ	HP Inc	Pair Corr
0.63	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.61	WMT	Walmart Aggressive Push	Pair Corr
0.61	INTC	Intel Fiscal Year End 23rd of January 2025	Pair Corr
0.51	CAT	Caterpillar Fiscal Year End 3rd of February 2025	Pair Corr
0.5	HD	Home Depot	Pair Corr

Related Correlations Analysis

	00108WAF7	90331HPL1	MMM	AA	T	JNJ	INTC	CSCO	MSFT	HPQ
00108WAF7		-0.07	-0.02	-0.09	-0.07	0.12	-0.14	-0.12	0.07	-0.13	00108WAF7
90331HPL1	-0.07		0.25	-0.18	-0.26	0.33	-0.07	-0.1	0.22	-0.11	90331HPL1
MMM	-0.02	0.25		-0.1	-0.21	0.21	0.14	-0.2	0.31	-0.03	MMM
AA	-0.09	-0.18	-0.1		0.76	-0.75	0.88	0.94	0.08	0.87	AA
T	-0.07	-0.26	-0.21	0.76		-0.63	0.69	0.76	0.18	0.54	T
JNJ	0.12	0.33	0.21	-0.75	-0.63		-0.8	-0.78	0.06	-0.65	JNJ
INTC	-0.14	-0.07	0.14	0.88	0.69	-0.8		0.86	0.22	0.82	INTC
CSCO	-0.12	-0.1	-0.2	0.94	0.76	-0.78	0.86		0.08	0.86	CSCO
MSFT	0.07	0.22	0.31	0.08	0.18	0.06	0.22	0.08		-0.01	MSFT
HPQ	-0.13	-0.11	-0.03	0.87	0.54	-0.65	0.82	0.86	-0.01		HPQ
	00108WAF7	90331HPL1	MMM	AA	T	JNJ	INTC	CSCO	MSFT	HPQ

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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

CSCO	+ 0.94	AA
INTC	+ 0.88	AA
HPQ	+ 0.87	AA
CSCO	+ 0.86	INTC
HPQ	+ 0.86	CSCO
HPQ	+ 0.82	INTC

High negative correlations

INTC	- 0.8	JNJ
CSCO	- 0.78	JNJ
JNJ	- 0.75	AA
HPQ	- 0.65	JNJ
JNJ	- 0.63	T
T	- 0.26	90331HPL1

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
00108WAF7	1.26	0.13	0.03	0.58	1.37	(1.38)	3.24	(2.55)	10.75
90331HPL1	0.32	(0.07)	0.00	(0.16)	0.00	0.00	0.32	(0.85)	7.02
MMM	1.02	(0.13)	(0.08)	0.01	1.22	(1.11)	1.54	(2.13)	7.84
AA	2.47	0.31	0.15	0.28	2.65	(2.80)	6.10	(5.76)	14.99
T	0.92	0.26	0.13	(10.00)	0.86	(1.04)	2.56	(1.72)	6.47
JNJ	0.61	(0.10)	0.00	(0.35)	0.00	0.00	1.40	(1.42)	3.25
INTC	2.35	0.06	0.08	0.15	2.54	(2.68)	6.36	(3.50)	18.29
CSCO	0.74	0.12	0.13	0.25	0.58	(0.82)	1.72	(1.29)	6.38
MSFT	0.88	(0.08)	(0.07)	0.01	1.51	(0.83)	2.09	(1.85)	8.19
HPQ	1.30	0.04	0.03	0.15	1.62	(1.30)	2.22	(2.63)	6.13

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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