Correlation Between Citigroup and IShares 10
Can any of the company-specific risk be diversified away by investing in both Citigroup and IShares 10 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 10 into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and iShares 10 Year, you can compare the effects of market volatilities on Citigroup and IShares 10 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 10. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and IShares 10.
Diversification Opportunities for Citigroup and IShares 10
-0.07 | Correlation Coefficient |
Good diversification
The 3 months correlation between Citigroup and IShares is -0.07. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and iShares 10 Year in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares 10 Year 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 10. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares 10 Year has no effect on the direction of Citigroup i.e., Citigroup and IShares 10 go up and down completely randomly.
Pair Corralation between Citigroup and IShares 10
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.22 times more return on investment than IShares 10. However, Citigroup is 2.22 times more volatile than iShares 10 Year. It trades about 0.07 of its potential returns per unit of risk. iShares 10 Year is currently generating about 0.02 per unit of risk. If you would invest 4,016 in Citigroup on December 12, 2024 and sell it today you would earn a total of 2,734 from holding Citigroup or generate 68.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.8% |
| Values | Daily Returns |
Citigroup vs. iShares 10 Year
Performance |
| Timeline |
| Citigroup |
| iShares 10 Year |
Citigroup and IShares 10 Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and IShares 10
The main advantage of trading using opposite Citigroup and IShares 10 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, IShares 10 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 10 will offset losses from the drop in IShares 10's long position.| Citigroup vs. JPMorgan Chase Co | ||
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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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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