Correlation Between Citigroup and Bancroft Fund
Can any of the company-specific risk be diversified away by investing in both Citigroup and Bancroft Fund 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 Bancroft Fund into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Bancroft Fund Limited, you can compare the effects of market volatilities on Citigroup and Bancroft Fund 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 Bancroft Fund. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Bancroft Fund.
Diversification Opportunities for Citigroup and Bancroft Fund
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Citigroup and Bancroft is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Bancroft Fund Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bancroft Fund Limited 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 Bancroft Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bancroft Fund Limited has no effect on the direction of Citigroup i.e., Citigroup and Bancroft Fund go up and down completely randomly.
Pair Corralation between Citigroup and Bancroft Fund
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.09 times less return on investment than Bancroft Fund. In addition to that, Citigroup is 2.38 times more volatile than Bancroft Fund Limited. It trades about 0.21 of its total potential returns per unit of risk. Bancroft Fund Limited is currently generating about 0.55 per unit of volatility. If you would invest 1,663 in Bancroft Fund Limited on August 29, 2024 and sell it today you would earn a total of 184.00 from holding Bancroft Fund Limited or generate 11.06% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Bancroft Fund Limited
Performance |
| Timeline |
| Citigroup |
| Bancroft Fund Limited |
Citigroup and Bancroft Fund Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Bancroft Fund
The main advantage of trading using opposite Citigroup and Bancroft Fund positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Bancroft Fund 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 Bancroft Fund will offset losses from the drop in Bancroft Fund's long position.The idea behind Citigroup and Bancroft Fund Limited pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Bancroft Fund vs. Aurora Innovation | Bancroft Fund vs. HUMANA INC | Bancroft Fund vs. Aquagold International | Bancroft Fund vs. Barloworld Ltd ADR |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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