Correlation Between Citigroup and IShares Morningstar
Can any of the company-specific risk be diversified away by investing in both Citigroup and IShares Morningstar 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 Morningstar into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and iShares Morningstar Value, you can compare the effects of market volatilities on Citigroup and IShares Morningstar 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 Morningstar. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and IShares Morningstar.
Diversification Opportunities for Citigroup and IShares Morningstar
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and IShares is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and iShares Morningstar Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Morningstar Value 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 Morningstar. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Morningstar Value has no effect on the direction of Citigroup i.e., Citigroup and IShares Morningstar go up and down completely randomly.
Pair Corralation between Citigroup and IShares Morningstar
Taking into account the 90-day investment horizon Citigroup is expected to generate 3.16 times more return on investment than IShares Morningstar. However, Citigroup is 3.16 times more volatile than iShares Morningstar Value. It trades about 0.26 of its potential returns per unit of risk. iShares Morningstar Value is currently generating about 0.34 per unit of risk. If you would invest 6,361 in Citigroup on September 1, 2024 and sell it today you would earn a total of 726.00 from holding Citigroup or generate 11.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. iShares Morningstar Value
Performance |
| Timeline |
| Citigroup |
| iShares Morningstar Value |
Citigroup and IShares Morningstar Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and IShares Morningstar
The main advantage of trading using opposite Citigroup and IShares Morningstar positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, IShares Morningstar 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 Morningstar will offset losses from the drop in IShares Morningstar's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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