Correlation Between Citigroup and GraniteShares
Can any of the company-specific risk be diversified away by investing in both Citigroup and GraniteShares 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 GraniteShares into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and GraniteShares 3x Long, you can compare the effects of market volatilities on Citigroup and GraniteShares 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 GraniteShares. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and GraniteShares.
Diversification Opportunities for Citigroup and GraniteShares
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Citigroup and GraniteShares is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and GraniteShares 3x Long in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on GraniteShares 3x Long 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 GraniteShares. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of GraniteShares 3x Long has no effect on the direction of Citigroup i.e., Citigroup and GraniteShares go up and down completely randomly.
Pair Corralation between Citigroup and GraniteShares
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.0 times less return on investment than GraniteShares. But when comparing it to its historical volatility, Citigroup is 2.11 times less risky than GraniteShares. It trades about 0.26 of its potential returns per unit of risk. GraniteShares 3x Long is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest 8,586 in GraniteShares 3x Long on September 1, 2024 and sell it today you would earn a total of 2,157 from holding GraniteShares 3x Long or generate 25.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 91.3% |
| Values | Daily Returns |
Citigroup vs. GraniteShares 3x Long
Performance |
| Timeline |
| Citigroup |
| GraniteShares 3x Long |
Citigroup and GraniteShares Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and GraniteShares
The main advantage of trading using opposite Citigroup and GraniteShares positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, GraniteShares 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 GraniteShares will offset losses from the drop in GraniteShares' 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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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