Correlation Between Citigroup and Old Second
Can any of the company-specific risk be diversified away by investing in both Citigroup and Old Second 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 Old Second into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Old Second Bancorp, you can compare the effects of market volatilities on Citigroup and Old Second 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 Old Second. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Old Second.
Diversification Opportunities for Citigroup and Old Second
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and Old is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Old Second Bancorp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Old Second Bancorp 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 Old Second. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Old Second Bancorp has no effect on the direction of Citigroup i.e., Citigroup and Old Second go up and down completely randomly.
Pair Corralation between Citigroup and Old Second
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.34 times less return on investment than Old Second. But when comparing it to its historical volatility, Citigroup is 1.06 times less risky than Old Second. It trades about 0.09 of its potential returns per unit of risk. Old Second Bancorp is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 1,323 in Old Second Bancorp on August 25, 2024 and sell it today you would earn a total of 548.00 from holding Old Second Bancorp or generate 41.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Old Second Bancorp
Performance |
| Timeline |
| Citigroup |
| Old Second Bancorp |
Citigroup and Old Second Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Old Second
The main advantage of trading using opposite Citigroup and Old Second positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Old Second 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 Old Second will offset losses from the drop in Old Second's long position.| Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal |
| Old Second vs. Ohio Valley Banc | Old Second vs. Peoples Bancorp | Old Second vs. OceanFirst Financial Corp | Old Second vs. QCR 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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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