Correlation Between Citigroup and Brent Crude
Can any of the company-specific risk be diversified away by investing in both Citigroup and Brent Crude 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 Brent Crude into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Brent Crude Oil, you can compare the effects of market volatilities on Citigroup and Brent Crude 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 Brent Crude. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Brent Crude.
Diversification Opportunities for Citigroup and Brent Crude
0.03 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Citigroup and Brent is 0.03. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Brent Crude Oil in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brent Crude Oil 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 Brent Crude. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brent Crude Oil has no effect on the direction of Citigroup i.e., Citigroup and Brent Crude go up and down completely randomly.
Pair Corralation between Citigroup and Brent Crude
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.1 times more return on investment than Brent Crude. However, Citigroup is 1.1 times more volatile than Brent Crude Oil. It trades about 0.23 of its potential returns per unit of risk. Brent Crude Oil is currently generating about 0.03 per unit of risk. If you would invest 6,245 in Citigroup on August 25, 2024 and sell it today you would earn a total of 739.00 from holding Citigroup or generate 11.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Brent Crude Oil
Performance |
| Timeline |
| Citigroup |
| Brent Crude Oil |
Citigroup and Brent Crude Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Brent Crude
The main advantage of trading using opposite Citigroup and Brent Crude positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Brent Crude 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 Brent Crude will offset losses from the drop in Brent Crude's long position.| Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal |
| Brent Crude vs. Micro Silver Futures | Brent Crude vs. 30 Day Fed | Brent Crude vs. Mini Dow Jones | Brent Crude vs. Gasoline RBOB |
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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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