Correlation Between Citigroup and Managed Account
Can any of the company-specific risk be diversified away by investing in both Citigroup and Managed Account 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 Managed Account into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Managed Account Series, you can compare the effects of market volatilities on Citigroup and Managed Account 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 Managed Account. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Managed Account.
Diversification Opportunities for Citigroup and Managed Account
0.33 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Citigroup and Managed is 0.33. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Managed Account Series in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Managed Account Series 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 Managed Account. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Managed Account Series has no effect on the direction of Citigroup i.e., Citigroup and Managed Account go up and down completely randomly.
Pair Corralation between Citigroup and Managed Account
Taking into account the 90-day investment horizon Citigroup is expected to generate 7.53 times more return on investment than Managed Account. However, Citigroup is 7.53 times more volatile than Managed Account Series. It trades about 0.21 of its potential returns per unit of risk. Managed Account Series is currently generating about -0.09 per unit of risk. If you would invest 7,150 in Citigroup on November 4, 2024 and sell it today you would earn a total of 993.00 from holding Citigroup or generate 13.89% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Managed Account Series
Performance |
| Timeline |
| Citigroup |
| Managed Account Series |
Citigroup and Managed Account Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Managed Account
The main advantage of trading using opposite Citigroup and Managed Account positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Managed Account 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 Managed Account will offset losses from the drop in Managed Account's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Managed Account vs. Putnam Global Technology | Managed Account vs. Science Technology Fund | Managed Account vs. Fidelity Advisor Technology | Managed Account vs. Pgim Jennison Technology |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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