Correlation Between Citigroup and Ishares II
Can any of the company-specific risk be diversified away by investing in both Citigroup and Ishares II 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 Ishares II into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Ishares II PLC, you can compare the effects of market volatilities on Citigroup and Ishares II 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 Ishares II. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Ishares II.
Diversification Opportunities for Citigroup and Ishares II
0.01 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Citigroup and Ishares is 0.01. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Ishares II PLC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ishares II 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 Ishares II. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ishares II PLC has no effect on the direction of Citigroup i.e., Citigroup and Ishares II go up and down completely randomly.
Pair Corralation between Citigroup and Ishares II
Taking into account the 90-day investment horizon Citigroup is expected to generate 4.96 times more return on investment than Ishares II. However, Citigroup is 4.96 times more volatile than Ishares II PLC. It trades about 0.1 of its potential returns per unit of risk. Ishares II PLC is currently generating about 0.05 per unit of risk. If you would invest 4,460 in Citigroup on September 12, 2024 and sell it today you would earn a total of 2,790 from holding Citigroup or generate 62.56% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 58.52% |
| Values | Daily Returns |
Citigroup vs. Ishares II PLC
Performance |
| Timeline |
| Citigroup |
| Ishares II PLC |
Citigroup and Ishares II Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Ishares II
The main advantage of trading using opposite Citigroup and Ishares II positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Ishares II 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 Ishares II will offset losses from the drop in Ishares II's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Ishares II vs. UBS Fund Solutions | Ishares II vs. Xtrackers II | Ishares II vs. Xtrackers Nikkei 225 | Ishares II vs. iShares VII PLC |
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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