Correlation Between Citigroup and Barclays Capital
Can any of the company-specific risk be diversified away by investing in both Citigroup and Barclays Capital 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 Barclays Capital into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Barclays Capital, you can compare the effects of market volatilities on Citigroup and Barclays Capital 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 Barclays Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Barclays Capital.
Diversification Opportunities for Citigroup and Barclays Capital
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and Barclays is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Barclays Capital in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Barclays Capital 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 Barclays Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Barclays Capital has no effect on the direction of Citigroup i.e., Citigroup and Barclays Capital go up and down completely randomly.
Pair Corralation between Citigroup and Barclays Capital
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.74 times less return on investment than Barclays Capital. In addition to that, Citigroup is 1.32 times more volatile than Barclays Capital. It trades about 0.07 of its total potential returns per unit of risk. Barclays Capital is currently generating about 0.17 per unit of volatility. If you would invest 2,658 in Barclays Capital on August 27, 2024 and sell it today you would earn a total of 971.00 from holding Barclays Capital or generate 36.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 31.65% |
| Values | Daily Returns |
Citigroup vs. Barclays Capital
Performance |
| Timeline |
| Citigroup |
| Barclays Capital |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
Citigroup and Barclays Capital Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Barclays Capital
The main advantage of trading using opposite Citigroup and Barclays Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Barclays Capital 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 Barclays Capital will offset losses from the drop in Barclays Capital's long position.| Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal |
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.
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