Correlation Between Citigroup and Johcm Global
Can any of the company-specific risk be diversified away by investing in both Citigroup and Johcm Global 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 Johcm Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Johcm Global Equity, you can compare the effects of market volatilities on Citigroup and Johcm Global 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 Johcm Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Johcm Global.
Diversification Opportunities for Citigroup and Johcm Global
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and Johcm is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Johcm Global Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Johcm Global Equity 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 Johcm Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Johcm Global Equity has no effect on the direction of Citigroup i.e., Citigroup and Johcm Global go up and down completely randomly.
Pair Corralation between Citigroup and Johcm Global
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.78 times more return on investment than Johcm Global. However, Citigroup is 1.78 times more volatile than Johcm Global Equity. It trades about 0.06 of its potential returns per unit of risk. Johcm Global Equity is currently generating about 0.07 per unit of risk. If you would invest 6,131 in Citigroup on August 26, 2024 and sell it today you would earn a total of 853.00 from holding Citigroup or generate 13.91% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Johcm Global Equity
Performance |
| Timeline |
| Citigroup |
| Johcm Global Equity |
Citigroup and Johcm Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Johcm Global
The main advantage of trading using opposite Citigroup and Johcm Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Johcm Global 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 Johcm Global will offset losses from the drop in Johcm Global's long position.| Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal |
| Johcm Global vs. Archer Balanced Fund | Johcm Global vs. Acm Tactical Income | Johcm Global vs. Ab Value Fund | Johcm Global vs. Eic Value 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 Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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