Correlation Between Citigroup and JSE
Can any of the company-specific risk be diversified away by investing in both Citigroup and JSE 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 JSE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and JSE Limited, you can compare the effects of market volatilities on Citigroup and JSE 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 JSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and JSE.
Diversification Opportunities for Citigroup and JSE
Good diversification
The 3 months correlation between Citigroup and JSE is -0.02. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and JSE Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JSE Limited 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 JSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JSE Limited has no effect on the direction of Citigroup i.e., Citigroup and JSE go up and down completely randomly.
Pair Corralation between Citigroup and JSE
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.25 times less return on investment than JSE. In addition to that, Citigroup is 1.0 times more volatile than JSE Limited. It trades about 0.09 of its total potential returns per unit of risk. JSE Limited is currently generating about 0.11 per unit of volatility. If you would invest 876,400 in JSE Limited on August 27, 2024 and sell it today you would earn a total of 335,000 from holding JSE Limited or generate 38.22% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 98.4% |
| Values | Daily Returns |
Citigroup vs. JSE Limited
Performance |
| Timeline |
| Citigroup |
| JSE Limited |
Citigroup and JSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and JSE
The main advantage of trading using opposite Citigroup and JSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, JSE 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 JSE will offset losses from the drop in JSE's long position.| Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal |
| JSE vs. Prosus NV | JSE vs. Compagnie Financire Richemont | JSE vs. British American Tobacco | JSE vs. Glencore PLC |
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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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