Correlation Between Citigroup and SPDR SPASX
Can any of the company-specific risk be diversified away by investing in both Citigroup and SPDR SPASX 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 SPDR SPASX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and SPDR SPASX 200, you can compare the effects of market volatilities on Citigroup and SPDR SPASX 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 SPDR SPASX. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and SPDR SPASX.
Diversification Opportunities for Citigroup and SPDR SPASX
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and SPDR is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and SPDR SPASX 200 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SPASX 200 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 SPDR SPASX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SPASX 200 has no effect on the direction of Citigroup i.e., Citigroup and SPDR SPASX go up and down completely randomly.
Pair Corralation between Citigroup and SPDR SPASX
Taking into account the 90-day investment horizon Citigroup is expected to generate 3.24 times more return on investment than SPDR SPASX. However, Citigroup is 3.24 times more volatile than SPDR SPASX 200. It trades about 0.26 of its potential returns per unit of risk. SPDR SPASX 200 is currently generating about 0.28 per unit of risk. If you would invest 6,361 in Citigroup on September 1, 2024 and sell it today you would earn a total of 726.00 from holding Citigroup or generate 11.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 91.3% |
| Values | Daily Returns |
Citigroup vs. SPDR SPASX 200
Performance |
| Timeline |
| Citigroup |
| SPDR SPASX 200 |
Citigroup and SPDR SPASX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and SPDR SPASX
The main advantage of trading using opposite Citigroup and SPDR SPASX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, SPDR SPASX 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 SPDR SPASX will offset losses from the drop in SPDR SPASX'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 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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