Correlation Between Citigroup and Lyxor 10Y
Can any of the company-specific risk be diversified away by investing in both Citigroup and Lyxor 10Y 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 Lyxor 10Y into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Lyxor 10Y Treasury, you can compare the effects of market volatilities on Citigroup and Lyxor 10Y 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 Lyxor 10Y. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Lyxor 10Y.
Diversification Opportunities for Citigroup and Lyxor 10Y
Very poor diversification
The 3 months correlation between Citigroup and Lyxor is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Lyxor 10Y Treasury in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor 10Y Treasury 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 Lyxor 10Y. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor 10Y Treasury has no effect on the direction of Citigroup i.e., Citigroup and Lyxor 10Y go up and down completely randomly.
Pair Corralation between Citigroup and Lyxor 10Y
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.85 times more return on investment than Lyxor 10Y. However, Citigroup is 1.18 times less risky than Lyxor 10Y. It trades about 0.2 of its potential returns per unit of risk. Lyxor 10Y Treasury is currently generating about 0.0 per unit of risk. If you would invest 6,876 in Citigroup on September 16, 2024 and sell it today you would earn a total of 225.00 from holding Citigroup or generate 3.27% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
Citigroup vs. Lyxor 10Y Treasury
Performance |
| Timeline |
| Citigroup |
| Lyxor 10Y Treasury |
Citigroup and Lyxor 10Y Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Lyxor 10Y
The main advantage of trading using opposite Citigroup and Lyxor 10Y positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Lyxor 10Y 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 Lyxor 10Y will offset losses from the drop in Lyxor 10Y's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Lyxor 10Y vs. Amundi German Bund | Lyxor 10Y vs. Lyxor SP 500 | Lyxor 10Y vs. Lyxor UCITS Daily | Lyxor 10Y vs. Lyxor UCITS Stoxx |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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