Correlation Between Citigroup and NEXG11
Can any of the company-specific risk be diversified away by investing in both Citigroup and NEXG11 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 NEXG11 into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and NEXG11, you can compare the effects of market volatilities on Citigroup and NEXG11 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 NEXG11. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and NEXG11.
Diversification Opportunities for Citigroup and NEXG11
Very weak diversification
The 3 months correlation between Citigroup and NEXG11 is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and NEXG11 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NEXG11 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 NEXG11. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NEXG11 has no effect on the direction of Citigroup i.e., Citigroup and NEXG11 go up and down completely randomly.
Pair Corralation between Citigroup and NEXG11
Taking into account the 90-day investment horizon Citigroup is expected to under-perform the NEXG11. In addition to that, Citigroup is 1.96 times more volatile than NEXG11. It trades about -0.04 of its total potential returns per unit of risk. NEXG11 is currently generating about 0.55 per unit of volatility. If you would invest 11,744 in NEXG11 on September 19, 2024 and sell it today you would earn a total of 856.00 from holding NEXG11 or generate 7.29% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Citigroup vs. NEXG11
Performance |
| Timeline |
| Citigroup |
| NEXG11 |
Citigroup and NEXG11 Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and NEXG11
The main advantage of trading using opposite Citigroup and NEXG11 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, NEXG11 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 NEXG11 will offset losses from the drop in NEXG11's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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