Correlation Between Citigroup and Aegon NV
Can any of the company-specific risk be diversified away by investing in both Citigroup and Aegon NV 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 Aegon NV into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Aegon NV ADR, you can compare the effects of market volatilities on Citigroup and Aegon NV 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 Aegon NV. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Aegon NV.
Diversification Opportunities for Citigroup and Aegon NV
Poor diversification
The 3 months correlation between Citigroup and Aegon is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Aegon NV ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aegon NV ADR 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 Aegon NV. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aegon NV ADR has no effect on the direction of Citigroup i.e., Citigroup and Aegon NV go up and down completely randomly.
Pair Corralation between Citigroup and Aegon NV
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.51 times more return on investment than Aegon NV. However, Citigroup is 1.51 times more volatile than Aegon NV ADR. It trades about 0.15 of its potential returns per unit of risk. Aegon NV ADR is currently generating about -0.02 per unit of risk. If you would invest 6,205 in Citigroup on August 30, 2024 and sell it today you would earn a total of 811.00 from holding Citigroup or generate 13.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Aegon NV ADR
Performance |
| Timeline |
| Citigroup |
| Aegon NV ADR |
Citigroup and Aegon NV Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Aegon NV
The main advantage of trading using opposite Citigroup and Aegon NV positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Aegon NV 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 Aegon NV will offset losses from the drop in Aegon NV's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Aegon NV vs. Hartford Financial Services | Aegon NV vs. Goosehead Insurance | Aegon NV vs. International General Insurance | Aegon NV vs. Enstar Group Limited |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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