Correlation Between Citigroup and Ross Stores
Can any of the company-specific risk be diversified away by investing in both Citigroup and Ross Stores 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 Citigroup and Ross Stores into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Ross Stores, you can compare the effects of market volatilities on Citigroup and Ross Stores 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 Citigroup with a short position of Ross Stores. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Ross Stores.
Diversification Opportunities for Citigroup and Ross Stores
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and Ross is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Ross Stores in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ross Stores and Citigroup 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 Citigroup are associated (or correlated) with Ross Stores. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ross Stores has no effect on the direction of Citigroup i.e., Citigroup and Ross Stores go up and down completely randomly.
Pair Corralation between Citigroup and Ross Stores
Given the investment horizon of 90 days Citigroup is expected to generate 1.48 times less return on investment than Ross Stores. In addition to that, Citigroup is 1.05 times more volatile than Ross Stores. It trades about 0.23 of its total potential returns per unit of risk. Ross Stores is currently generating about 0.36 per unit of volatility. If you would invest 289,000 in Ross Stores on August 29, 2024 and sell it today you would earn a total of 23,485 from holding Ross Stores or generate 8.13% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 40.91% |
| Values | Daily Returns |
Citigroup vs. Ross Stores
Performance |
| Timeline |
| Citigroup |
| Ross Stores |
Citigroup and Ross Stores Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Ross Stores
The main advantage of trading using opposite Citigroup and Ross Stores positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Ross Stores 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 Ross Stores will offset losses from the drop in Ross Stores' long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Bank of America | Citigroup vs. The Select Sector | Citigroup vs. Promotora y Operadora |
| Ross Stores vs. FIBRA Storage | Ross Stores vs. New Oriental Education | Ross Stores vs. Monster Beverage Corp | Ross Stores vs. Southwest Airlines |
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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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