Correlation Between Citigroup and ProShares Big
Can any of the company-specific risk be diversified away by investing in both Citigroup and ProShares Big 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 ProShares Big into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and ProShares Big Data, you can compare the effects of market volatilities on Citigroup and ProShares Big 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 ProShares Big. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and ProShares Big.
Diversification Opportunities for Citigroup and ProShares Big
0.56 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Citigroup and ProShares is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and ProShares Big Data in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares Big Data 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 ProShares Big. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares Big Data has no effect on the direction of Citigroup i.e., Citigroup and ProShares Big go up and down completely randomly.
Pair Corralation between Citigroup and ProShares Big
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.2 times less return on investment than ProShares Big. But when comparing it to its historical volatility, Citigroup is 1.03 times less risky than ProShares Big. It trades about 0.22 of its potential returns per unit of risk. ProShares Big Data is currently generating about 0.26 of returns per unit of risk over similar time horizon. If you would invest 4,429 in ProShares Big Data on November 18, 2024 and sell it today you would earn a total of 349.00 from holding ProShares Big Data or generate 7.88% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. ProShares Big Data
Performance |
| Timeline |
| Citigroup |
| ProShares Big Data |
Citigroup and ProShares Big Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and ProShares Big
The main advantage of trading using opposite Citigroup and ProShares Big positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, ProShares Big 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 ProShares Big will offset losses from the drop in ProShares Big's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| ProShares Big vs. ProShares SP Kensho | ProShares Big vs. ProShares SP Kensho | ProShares Big vs. ProShares Smart Materials | ProShares Big vs. ProShares On Demand ETF |
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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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