Correlation Between Citigroup and James Alpha
Can any of the company-specific risk be diversified away by investing in both Citigroup and James Alpha 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 James Alpha into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and James Alpha Managed, you can compare the effects of market volatilities on Citigroup and James Alpha 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 James Alpha. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and James Alpha.
Diversification Opportunities for Citigroup and James Alpha
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and James is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and James Alpha Managed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on James Alpha Managed 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 James Alpha. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of James Alpha Managed has no effect on the direction of Citigroup i.e., Citigroup and James Alpha go up and down completely randomly.
Pair Corralation between Citigroup and James Alpha
Taking into account the 90-day investment horizon Citigroup is expected to generate 4.47 times more return on investment than James Alpha. However, Citigroup is 4.47 times more volatile than James Alpha Managed. It trades about 0.15 of its potential returns per unit of risk. James Alpha Managed is currently generating about 0.13 per unit of risk. If you would invest 6,205 in Citigroup on August 30, 2024 and sell it today you would earn a total of 811.00 from holding Citigroup or generate 13.07% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Citigroup vs. James Alpha Managed
Performance |
Timeline |
Citigroup |
James Alpha Managed |
Citigroup and James Alpha Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Citigroup and James Alpha
The main advantage of trading using opposite Citigroup and James Alpha positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, James Alpha 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 James Alpha will offset losses from the drop in James Alpha's long position.Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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