Correlation Between Citigroup and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Citigroup and Loomis Sayles 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 Loomis Sayles into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Loomis Sayles Investment, you can compare the effects of market volatilities on Citigroup and Loomis Sayles 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 Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Loomis Sayles.
Diversification Opportunities for Citigroup and Loomis Sayles
-0.8 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Citigroup and Loomis is -0.8. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Loomis Sayles Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Investment 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 Loomis Sayles. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Loomis Sayles Investment has no effect on the direction of Citigroup i.e., Citigroup and Loomis Sayles go up and down completely randomly.
Pair Corralation between Citigroup and Loomis Sayles
Taking into account the 90-day investment horizon Citigroup is expected to generate 4.24 times more return on investment than Loomis Sayles. However, Citigroup is 4.24 times more volatile than Loomis Sayles Investment. It trades about 0.08 of its potential returns per unit of risk. Loomis Sayles Investment is currently generating about 0.06 per unit of risk. If you would invest 4,525 in Citigroup on August 31, 2024 and sell it today you would earn a total of 2,562 from holding Citigroup or generate 56.62% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 99.73% |
| Values | Daily Returns |
Citigroup vs. Loomis Sayles Investment
Performance |
| Timeline |
| Citigroup |
| Loomis Sayles Investment |
Citigroup and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Loomis Sayles
The main advantage of trading using opposite Citigroup and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Loomis Sayles 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 Loomis Sayles will offset losses from the drop in Loomis Sayles' long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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