Correlation Between Citigroup and The Jensen
Can any of the company-specific risk be diversified away by investing in both Citigroup and The Jensen 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 The Jensen into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and The Jensen Portfolio, you can compare the effects of market volatilities on Citigroup and The Jensen 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 The Jensen. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and The Jensen.
Diversification Opportunities for Citigroup and The Jensen
-0.54 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Citigroup and The is -0.54. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and The Jensen Portfolio in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jensen Portfolio 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 The Jensen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jensen Portfolio has no effect on the direction of Citigroup i.e., Citigroup and The Jensen go up and down completely randomly.
Pair Corralation between Citigroup and The Jensen
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.89 times more return on investment than The Jensen. However, Citigroup is 1.12 times less risky than The Jensen. It trades about 0.21 of its potential returns per unit of risk. The Jensen Portfolio is currently generating about -0.14 per unit of risk. If you would invest 6,360 in Citigroup on August 29, 2024 and sell it today you would earn a total of 615.00 from holding Citigroup or generate 9.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. The Jensen Portfolio
Performance |
| Timeline |
| Citigroup |
| Jensen Portfolio |
Citigroup and The Jensen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and The Jensen
The main advantage of trading using opposite Citigroup and The Jensen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, The Jensen 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 The Jensen will offset losses from the drop in The Jensen's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| The Jensen vs. The Jensen Portfolio | The Jensen vs. T Rowe Price | The Jensen vs. Champlain Mid Cap | The Jensen vs. Massachusetts Investors Growth |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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