Correlation Between Citigroup and Jpmorgan Floating
Can any of the company-specific risk be diversified away by investing in both Citigroup and Jpmorgan Floating 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 Jpmorgan Floating into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Jpmorgan Floating Rate, you can compare the effects of market volatilities on Citigroup and Jpmorgan Floating 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 Jpmorgan Floating. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Jpmorgan Floating.
Diversification Opportunities for Citigroup and Jpmorgan Floating
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and Jpmorgan is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Jpmorgan Floating Rate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jpmorgan Floating Rate 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 Jpmorgan Floating. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jpmorgan Floating Rate has no effect on the direction of Citigroup i.e., Citigroup and Jpmorgan Floating go up and down completely randomly.
Pair Corralation between Citigroup and Jpmorgan Floating
Taking into account the 90-day investment horizon Citigroup is expected to generate 14.3 times more return on investment than Jpmorgan Floating. However, Citigroup is 14.3 times more volatile than Jpmorgan Floating Rate. It trades about 0.26 of its potential returns per unit of risk. Jpmorgan Floating Rate is currently generating about 0.15 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 | 95.45% |
| Values | Daily Returns |
Citigroup vs. Jpmorgan Floating Rate
Performance |
| Timeline |
| Citigroup |
| Jpmorgan Floating Rate |
Citigroup and Jpmorgan Floating Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Jpmorgan Floating
The main advantage of trading using opposite Citigroup and Jpmorgan Floating positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Jpmorgan Floating 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 Jpmorgan Floating will offset losses from the drop in Jpmorgan Floating's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Jpmorgan Floating vs. Massmutual Premier Diversified | Jpmorgan Floating vs. Aqr Diversified Arbitrage | Jpmorgan Floating vs. Western Asset Diversified | Jpmorgan Floating vs. Prudential Core Conservative |
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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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