Correlation Between Citigroup and JETEMA
Can any of the company-specific risk be diversified away by investing in both Citigroup and JETEMA 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 JETEMA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and JETEMA Co, you can compare the effects of market volatilities on Citigroup and JETEMA 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 JETEMA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and JETEMA.
Diversification Opportunities for Citigroup and JETEMA
Very weak diversification
The 3 months correlation between Citigroup and JETEMA is 0.57. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and JETEMA Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JETEMA 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 JETEMA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JETEMA has no effect on the direction of Citigroup i.e., Citigroup and JETEMA go up and down completely randomly.
Pair Corralation between Citigroup and JETEMA
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.42 times less return on investment than JETEMA. But when comparing it to its historical volatility, Citigroup is 1.37 times less risky than JETEMA. It trades about 0.07 of its potential returns per unit of risk. JETEMA Co is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 1,597,000 in JETEMA Co on August 31, 2024 and sell it today you would earn a total of 352,000 from holding JETEMA Co or generate 22.04% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 96.06% |
| Values | Daily Returns |
Citigroup vs. JETEMA Co
Performance |
| Timeline |
| Citigroup |
| JETEMA |
Citigroup and JETEMA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and JETEMA
The main advantage of trading using opposite Citigroup and JETEMA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, JETEMA 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 JETEMA will offset losses from the drop in JETEMA's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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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 Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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