Correlation Between Citigroup and Glencore Plc
Can any of the company-specific risk be diversified away by investing in both Citigroup and Glencore Plc 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 Glencore Plc into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Glencore plc, you can compare the effects of market volatilities on Citigroup and Glencore Plc 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 Glencore Plc. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Glencore Plc.
Diversification Opportunities for Citigroup and Glencore Plc
0.16 | Correlation Coefficient |
Average diversification
The 3 months correlation between Citigroup and Glencore is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Glencore plc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Glencore plc 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 Glencore Plc. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Glencore plc has no effect on the direction of Citigroup i.e., Citigroup and Glencore Plc go up and down completely randomly.
Pair Corralation between Citigroup and Glencore Plc
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.11 times more return on investment than Glencore Plc. However, Citigroup is 1.11 times more volatile than Glencore plc. It trades about 0.14 of its potential returns per unit of risk. Glencore plc is currently generating about -0.05 per unit of risk. If you would invest 3,789 in Citigroup on August 29, 2024 and sell it today you would earn a total of 3,227 from holding Citigroup or generate 85.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 98.97% |
| Values | Daily Returns |
Citigroup vs. Glencore plc
Performance |
| Timeline |
| Citigroup |
| Glencore plc |
Citigroup and Glencore Plc Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Glencore Plc
The main advantage of trading using opposite Citigroup and Glencore Plc positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Glencore Plc 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 Glencore Plc will offset losses from the drop in Glencore Plc's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Glencore Plc vs. First Republic Bank | Glencore Plc vs. Micron Technology | Glencore Plc vs. Taiwan Semiconductor Manufacturing | Glencore Plc vs. Verizon Communications |
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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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