Correlation Between Citigroup and JPMorgan Quality
Can any of the company-specific risk be diversified away by investing in both Citigroup and JPMorgan Quality 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 Quality into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and JPMorgan Quality Factor, you can compare the effects of market volatilities on Citigroup and JPMorgan Quality 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 Quality. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and JPMorgan Quality.
Diversification Opportunities for Citigroup and JPMorgan Quality
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and JPMorgan is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and JPMorgan Quality Factor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Quality Factor 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 Quality. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Quality Factor has no effect on the direction of Citigroup i.e., Citigroup and JPMorgan Quality go up and down completely randomly.
Pair Corralation between Citigroup and JPMorgan Quality
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.74 times more return on investment than JPMorgan Quality. However, Citigroup is 2.74 times more volatile than JPMorgan Quality Factor. It trades about 0.29 of its potential returns per unit of risk. JPMorgan Quality Factor is currently generating about 0.27 per unit of risk. If you would invest 6,122 in Citigroup on August 26, 2024 and sell it today you would earn a total of 862.00 from holding Citigroup or generate 14.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. JPMorgan Quality Factor
Performance |
| Timeline |
| Citigroup |
| JPMorgan Quality Factor |
Citigroup and JPMorgan Quality Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and JPMorgan Quality
The main advantage of trading using opposite Citigroup and JPMorgan Quality positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, JPMorgan Quality 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 Quality will offset losses from the drop in JPMorgan Quality's long position.| Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal |
| JPMorgan Quality vs. Morningstar Unconstrained Allocation | JPMorgan Quality vs. High Yield Municipal Fund | JPMorgan Quality vs. Via Renewables | JPMorgan Quality vs. Knife River |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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