Correlation Between Citigroup and Franklin Mutual
Can any of the company-specific risk be diversified away by investing in both Citigroup and Franklin Mutual 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 Franklin Mutual into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Franklin Mutual Shares, you can compare the effects of market volatilities on Citigroup and Franklin Mutual 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 Franklin Mutual. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Franklin Mutual.
Diversification Opportunities for Citigroup and Franklin Mutual
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Citigroup and Franklin is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Franklin Mutual Shares in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Franklin Mutual Shares 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 Franklin Mutual. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Franklin Mutual Shares has no effect on the direction of Citigroup i.e., Citigroup and Franklin Mutual go up and down completely randomly.
Pair Corralation between Citigroup and Franklin Mutual
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.32 times more return on investment than Franklin Mutual. However, Citigroup is 2.32 times more volatile than Franklin Mutual Shares. It trades about 0.13 of its potential returns per unit of risk. Franklin Mutual Shares is currently generating about 0.14 per unit of risk. If you would invest 4,053 in Citigroup on September 1, 2024 and sell it today you would earn a total of 3,034 from holding Citigroup or generate 74.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 99.63% |
| Values | Daily Returns |
Citigroup vs. Franklin Mutual Shares
Performance |
| Timeline |
| Citigroup |
| Franklin Mutual Shares |
Citigroup and Franklin Mutual Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Franklin Mutual
The main advantage of trading using opposite Citigroup and Franklin Mutual positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Franklin Mutual 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 Franklin Mutual will offset losses from the drop in Franklin Mutual's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Franklin Mutual vs. The Hartford Small | Franklin Mutual vs. Ab Small Cap | Franklin Mutual vs. Baird Smallmid Cap | Franklin Mutual vs. Artisan Small Cap |
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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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