Correlation Between Citigroup and JPM Global
Can any of the company-specific risk be diversified away by investing in both Citigroup and JPM 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 JPM Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and JPM Global Research, you can compare the effects of market volatilities on Citigroup and JPM 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 JPM Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and JPM Global.
Diversification Opportunities for Citigroup and JPM Global
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and JPM is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and JPM Global Research in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPM Global Research 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 JPM Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPM Global Research has no effect on the direction of Citigroup i.e., Citigroup and JPM Global go up and down completely randomly.
Pair Corralation between Citigroup and JPM Global
Taking into account the 90-day investment horizon Citigroup is expected to under-perform the JPM Global. In addition to that, Citigroup is 2.3 times more volatile than JPM Global Research. It trades about -0.08 of its total potential returns per unit of risk. JPM Global Research is currently generating about -0.09 per unit of volatility. If you would invest 255,125 in JPM Global Research on November 28, 2024 and sell it today you would lose (3,725) from holding JPM Global Research or give up 1.46% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Citigroup vs. JPM Global Research
Performance |
| Timeline |
| Citigroup |
| JPM Global Research |
Citigroup and JPM Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and JPM Global
The main advantage of trading using opposite Citigroup and JPM Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, JPM 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 JPM Global will offset losses from the drop in JPM Global's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| JPM Global vs. JPM BetaBuilders China | JPM Global vs. JPM AC Asia | JPM Global vs. JPM BetaBuilders Treasury | JPM Global vs. JPM Research Enhanced |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Other Complementary Tools
| Positions Ratings 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 | |
| Insider Screener Find insiders across different sectors to evaluate their impact on performance | |
| Portfolio Holdings Check your current holdings and cash postion to detemine if your portfolio needs rebalancing | |
| Risk-Return Analysis View associations between returns expected from investment and the risk you assume | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation |