Correlation Between Citigroup and Bank of New York
Can any of the company-specific risk be diversified away by investing in both Citigroup and Bank of New York 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 Bank of New York into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Bank of New, you can compare the effects of market volatilities on Citigroup and Bank of New York 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 Bank of New York. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Bank of New York.
Diversification Opportunities for Citigroup and Bank of New York
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and Bank is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Bank of New in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank of New York 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 Bank of New York. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank of New York has no effect on the direction of Citigroup i.e., Citigroup and Bank of New York go up and down completely randomly.
Pair Corralation between Citigroup and Bank of New York
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.41 times more return on investment than Bank of New York. However, Citigroup is 1.41 times more volatile than Bank of New. It trades about 0.12 of its potential returns per unit of risk. Bank of New is currently generating about 0.16 per unit of risk. If you would invest 4,966 in Citigroup on November 9, 2024 and sell it today you would earn a total of 3,267 from holding Citigroup or generate 65.79% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Bank of New
Performance |
| Timeline |
| Citigroup |
| Bank of New York |
Citigroup and Bank of New York Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Bank of New York
The main advantage of trading using opposite Citigroup and Bank of New York positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Bank of New York 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 Bank of New York will offset losses from the drop in Bank of New York's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Bank of New York vs. Northern Trust | Bank of New York vs. Invesco Plc | Bank of New York vs. Franklin Resources | Bank of New York vs. T Rowe Price |
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 Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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