Correlation Between Citigroup and Vanguard
Can any of the company-specific risk be diversified away by investing in both Citigroup and Vanguard 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 Vanguard into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Vanguard SP Mid Cap, you can compare the effects of market volatilities on Citigroup and Vanguard 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 Vanguard. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Vanguard.
Diversification Opportunities for Citigroup and Vanguard
Almost no diversification
The 3 months correlation between Citigroup and Vanguard is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Vanguard SP Mid Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard SP Mid 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 Vanguard. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard SP Mid has no effect on the direction of Citigroup i.e., Citigroup and Vanguard go up and down completely randomly.
Pair Corralation between Citigroup and Vanguard
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.48 times more return on investment than Vanguard. However, Citigroup is 1.48 times more volatile than Vanguard SP Mid Cap. It trades about 0.08 of its potential returns per unit of risk. Vanguard SP Mid Cap is currently generating about 0.08 per unit of risk. If you would invest 4,377 in Citigroup on August 31, 2024 and sell it today you would earn a total of 2,639 from holding Citigroup or generate 60.29% 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. Vanguard SP Mid Cap
Performance |
| Timeline |
| Citigroup |
| Vanguard SP Mid |
Citigroup and Vanguard Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Vanguard
The main advantage of trading using opposite Citigroup and Vanguard positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Vanguard 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 Vanguard will offset losses from the drop in Vanguard's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Vanguard vs. Vanguard SP Mid Cap | Vanguard vs. Vanguard SP Mid Cap | Vanguard vs. Vanguard SP Small Cap | Vanguard vs. Vanguard SP Small Cap |
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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
Other Complementary Tools
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators | |
| Fundamental Analysis View fundamental data based on most recent published financial statements | |
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Financial Widgets Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets |