Correlation Between Citigroup and Artisan Value
Can any of the company-specific risk be diversified away by investing in both Citigroup and Artisan Value 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 Artisan Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Artisan Value Income, you can compare the effects of market volatilities on Citigroup and Artisan Value 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 Artisan Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Artisan Value.
Diversification Opportunities for Citigroup and Artisan Value
0.82 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and Artisan is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Artisan Value Income in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Artisan Value Income 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 Artisan Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Artisan Value Income has no effect on the direction of Citigroup i.e., Citigroup and Artisan Value go up and down completely randomly.
Pair Corralation between Citigroup and Artisan Value
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.44 times more return on investment than Artisan Value. However, Citigroup is 2.44 times more volatile than Artisan Value Income. It trades about 0.08 of its potential returns per unit of risk. Artisan Value Income is currently generating about 0.1 per unit of risk. If you would invest 4,558 in Citigroup on September 2, 2024 and sell it today you would earn a total of 2,529 from holding Citigroup or generate 55.48% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Artisan Value Income
Performance |
| Timeline |
| Citigroup |
| Artisan Value Income |
Citigroup and Artisan Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Artisan Value
The main advantage of trading using opposite Citigroup and Artisan Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Artisan Value 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 Artisan Value will offset losses from the drop in Artisan Value's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Artisan Value vs. Artisan Developing World | Artisan Value vs. Artisan Floating Rate | Artisan Value vs. Artisan Global Opportunities | Artisan Value vs. Artisan Mid Cap |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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