Correlation Between Citigroup and Ultimus Managers
Can any of the company-specific risk be diversified away by investing in both Citigroup and Ultimus Managers 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 Ultimus Managers into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Ultimus Managers Trust, you can compare the effects of market volatilities on Citigroup and Ultimus Managers 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 Ultimus Managers. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Ultimus Managers.
Diversification Opportunities for Citigroup and Ultimus Managers
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Citigroup and Ultimus is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Ultimus Managers Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ultimus Managers Trust 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 Ultimus Managers. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ultimus Managers Trust has no effect on the direction of Citigroup i.e., Citigroup and Ultimus Managers go up and down completely randomly.
Pair Corralation between Citigroup and Ultimus Managers
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.0 times more return on investment than Ultimus Managers. However, Citigroup is 2.0 times more volatile than Ultimus Managers Trust. It trades about 0.27 of its potential returns per unit of risk. Ultimus Managers Trust is currently generating about 0.46 per unit of risk. If you would invest 6,315 in Citigroup on September 2, 2024 and sell it today you would earn a total of 772.00 from holding Citigroup or generate 12.22% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Ultimus Managers Trust
Performance |
| Timeline |
| Citigroup |
| Ultimus Managers Trust |
Citigroup and Ultimus Managers Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Ultimus Managers
The main advantage of trading using opposite Citigroup and Ultimus Managers positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Ultimus Managers 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 Ultimus Managers will offset losses from the drop in Ultimus Managers' long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Ultimus Managers vs. Pgim Jennison Technology | Ultimus Managers vs. Columbia Global Technology | Ultimus Managers vs. Technology Ultrasector Profund | Ultimus Managers vs. Science Technology Fund |
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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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