Correlation Between CNH Industrial and Citigroup
Can any of the company-specific risk be diversified away by investing in both CNH Industrial and Citigroup at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining CNH Industrial and Citigroup into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CNH Industrial NV and Citigroup, you can compare the effects of market volatilities on CNH Industrial 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 CNH Industrial with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of CNH Industrial and Citigroup.
Diversification Opportunities for CNH Industrial and Citigroup
0.42 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between CNH and Citigroup is 0.42. Overlapping area represents the amount of risk that can be diversified away by holding CNH Industrial NV and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and CNH Industrial 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 CNH Industrial NV 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 has no effect on the direction of CNH Industrial i.e., CNH Industrial and Citigroup go up and down completely randomly.
Pair Corralation between CNH Industrial and Citigroup
Assuming the 90 days trading horizon CNH Industrial NV is expected to under-perform the Citigroup. In addition to that, CNH Industrial is 1.99 times more volatile than Citigroup. It trades about -0.01 of its total potential returns per unit of risk. Citigroup is currently generating about 0.09 per unit of volatility. If you would invest 4,454 in Citigroup on September 12, 2024 and sell it today you would earn a total of 2,740 from holding Citigroup or generate 61.52% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 91.74% |
| Values | Daily Returns |
CNH Industrial NV vs. Citigroup
Performance |
| Timeline |
| CNH Industrial NV |
| Citigroup |
CNH Industrial and Citigroup Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CNH Industrial and Citigroup
The main advantage of trading using opposite CNH Industrial and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CNH Industrial position performs unexpectedly, Citigroup can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Citigroup will offset losses from the drop in Citigroup's long position.| CNH Industrial vs. Hong Kong Land | CNH Industrial vs. Neometals | CNH Industrial vs. Coor Service Management | CNH Industrial vs. Fidelity Sustainable USD |
| Citigroup vs. Smithson Investment Trust | Citigroup vs. Blackrock World Mining | Citigroup vs. CNH Industrial NV | Citigroup vs. Aberdeen Diversified Income |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Share Portfolio module to track or share privately all of your investments from the convenience of any device.
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