Correlation Between Citigroup and IShares MSCI
Can any of the company-specific risk be diversified away by investing in both Citigroup and IShares MSCI 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 MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and iShares MSCI North, you can compare the effects of market volatilities on Citigroup and IShares MSCI 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 MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and IShares MSCI.
Diversification Opportunities for Citigroup and IShares MSCI
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and IShares is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and iShares MSCI North in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI North 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 MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares MSCI North has no effect on the direction of Citigroup i.e., Citigroup and IShares MSCI go up and down completely randomly.
Pair Corralation between Citigroup and IShares MSCI
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.26 times more return on investment than IShares MSCI. However, Citigroup is 2.26 times more volatile than iShares MSCI North. It trades about 0.08 of its potential returns per unit of risk. iShares MSCI North is currently generating about 0.13 per unit of risk. If you would invest 4,558 in Citigroup on September 2, 2024 and sell it today you would earn a total of 2,529 from holding Citigroup or generate 55.48% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.2% |
| Values | Daily Returns |
Citigroup vs. iShares MSCI North
Performance |
| Timeline |
| Citigroup |
| iShares MSCI North |
Citigroup and IShares MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and IShares MSCI
The main advantage of trading using opposite Citigroup and IShares MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, IShares MSCI 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 MSCI will offset losses from the drop in IShares MSCI's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| IShares MSCI vs. iShares MSCI Japan | IShares MSCI vs. iShares JP Morgan | IShares MSCI vs. iShares MSCI Europe | IShares MSCI vs. iShares Nasdaq Biotechnology |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
Other Complementary Tools
| Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine | |
| Sign In To Macroaxis Sign in to explore Macroaxis' wealth optimization platform and fintech modules | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Fundamental Analysis View fundamental data based on most recent published financial statements | |
| Theme Ratings Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance |