Correlation Between Citigroup and Miller Market
Can any of the company-specific risk be diversified away by investing in both Citigroup and Miller Market 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 Miller Market into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Miller Market Neutral, you can compare the effects of market volatilities on Citigroup and Miller Market 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 Miller Market. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Miller Market.
Diversification Opportunities for Citigroup and Miller Market
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and Miller is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Miller Market Neutral in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Miller Market Neutral 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 Miller Market. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Miller Market Neutral has no effect on the direction of Citigroup i.e., Citigroup and Miller Market go up and down completely randomly.
Pair Corralation between Citigroup and Miller Market
Taking into account the 90-day investment horizon Citigroup is expected to generate 18.8 times more return on investment than Miller Market. However, Citigroup is 18.8 times more volatile than Miller Market Neutral. It trades about 0.07 of its potential returns per unit of risk. Miller Market Neutral is currently generating about 0.42 per unit of risk. If you would invest 6,079 in Citigroup on September 1, 2024 and sell it today you would earn a total of 1,008 from holding Citigroup or generate 16.58% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Miller Market Neutral
Performance |
| Timeline |
| Citigroup |
| Miller Market Neutral |
Citigroup and Miller Market Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Miller Market
The main advantage of trading using opposite Citigroup and Miller Market positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Miller Market 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 Miller Market will offset losses from the drop in Miller Market's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Miller Market vs. Miller Vertible Bond | Miller Market vs. Miller Vertible Bond | Miller Market vs. Miller Vertible Bond | Miller Market vs. Miller Intermediate Bond |
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 CEOs Directory module to screen CEOs from public companies around the world.
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