Correlation Between Citigroup and Dimensional Global
Can any of the company-specific risk be diversified away by investing in both Citigroup and Dimensional Global 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 Dimensional Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Dimensional Global Core, you can compare the effects of market volatilities on Citigroup and Dimensional Global 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 Dimensional Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Dimensional Global.
Diversification Opportunities for Citigroup and Dimensional Global
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Citigroup and Dimensional is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Dimensional Global Core in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dimensional Global Core 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 Dimensional Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dimensional Global Core has no effect on the direction of Citigroup i.e., Citigroup and Dimensional Global go up and down completely randomly.
Pair Corralation between Citigroup and Dimensional Global
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.52 times more return on investment than Dimensional Global. However, Citigroup is 2.52 times more volatile than Dimensional Global Core. It trades about 0.11 of its potential returns per unit of risk. Dimensional Global Core is currently generating about 0.14 per unit of risk. If you would invest 4,642 in Citigroup on September 4, 2024 and sell it today you would earn a total of 2,500 from holding Citigroup or generate 53.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 99.2% |
| Values | Daily Returns |
Citigroup vs. Dimensional Global Core
Performance |
| Timeline |
| Citigroup |
| Dimensional Global Core |
Citigroup and Dimensional Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Dimensional Global
The main advantage of trading using opposite Citigroup and Dimensional Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Dimensional Global 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 Dimensional Global will offset losses from the drop in Dimensional Global's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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