Correlation Between Citigroup and DoubleLine Shiller
Can any of the company-specific risk be diversified away by investing in both Citigroup and DoubleLine Shiller 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 DoubleLine Shiller into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and DoubleLine Shiller CAPE, you can compare the effects of market volatilities on Citigroup and DoubleLine Shiller 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 DoubleLine Shiller. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and DoubleLine Shiller.
Diversification Opportunities for Citigroup and DoubleLine Shiller
0.39 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Citigroup and DoubleLine is 0.39. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and DoubleLine Shiller CAPE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on DoubleLine Shiller CAPE 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 DoubleLine Shiller. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DoubleLine Shiller CAPE has no effect on the direction of Citigroup i.e., Citigroup and DoubleLine Shiller go up and down completely randomly.
Pair Corralation between Citigroup and DoubleLine Shiller
Taking into account the 90-day investment horizon Citigroup is expected to generate 3.09 times more return on investment than DoubleLine Shiller. However, Citigroup is 3.09 times more volatile than DoubleLine Shiller CAPE. It trades about 0.42 of its potential returns per unit of risk. DoubleLine Shiller CAPE is currently generating about -0.06 per unit of risk. If you would invest 6,919 in Citigroup on October 21, 2024 and sell it today you would earn a total of 1,080 from holding Citigroup or generate 15.61% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. DoubleLine Shiller CAPE
Performance |
| Timeline |
| Citigroup |
| DoubleLine Shiller CAPE |
Citigroup and DoubleLine Shiller Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and DoubleLine Shiller
The main advantage of trading using opposite Citigroup and DoubleLine Shiller positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, DoubleLine Shiller 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 DoubleLine Shiller will offset losses from the drop in DoubleLine Shiller's long position.| Citigroup vs. Bank of Montreal | Citigroup vs. Canadian Imperial Bank | Citigroup vs. Bank of Nova | Citigroup vs. JPMorgan Chase Co |
| DoubleLine Shiller vs. FT Vest Equity | DoubleLine Shiller vs. Zillow Group Class | DoubleLine Shiller vs. Northern Lights | DoubleLine Shiller vs. VanEck Vectors Moodys |
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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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