Correlation Between Citigroup and Great Elm
Can any of the company-specific risk be diversified away by investing in both Citigroup and Great Elm 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 Great Elm into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Great Elm Capital, you can compare the effects of market volatilities on Citigroup and Great Elm 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 Great Elm. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Great Elm.
Diversification Opportunities for Citigroup and Great Elm
Poor diversification
The 3 months correlation between Citigroup and Great is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Great Elm Capital in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Great Elm Capital 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 Great Elm. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Great Elm Capital has no effect on the direction of Citigroup i.e., Citigroup and Great Elm go up and down completely randomly.
Pair Corralation between Citigroup and Great Elm
Taking into account the 90-day investment horizon Citigroup is expected to generate 3.92 times more return on investment than Great Elm. However, Citigroup is 3.92 times more volatile than Great Elm Capital. It trades about 0.09 of its potential returns per unit of risk. Great Elm Capital is currently generating about 0.06 per unit of risk. If you would invest 5,476 in Citigroup on September 1, 2024 and sell it today you would earn a total of 1,611 from holding Citigroup or generate 29.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 80.32% |
| Values | Daily Returns |
Citigroup vs. Great Elm Capital
Performance |
| Timeline |
| Citigroup |
| Great Elm Capital |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Insignificant
Citigroup and Great Elm Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Great Elm
The main advantage of trading using opposite Citigroup and Great Elm positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Great Elm 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 Great Elm will offset losses from the drop in Great Elm's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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