Correlation Between Citigroup and Overlay Shares
Can any of the company-specific risk be diversified away by investing in both Citigroup and Overlay Shares 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 Overlay Shares into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Overlay Shares Hedged, you can compare the effects of market volatilities on Citigroup and Overlay Shares 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 Overlay Shares. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Overlay Shares.
Diversification Opportunities for Citigroup and Overlay Shares
0.28 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Citigroup and Overlay is 0.28. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Overlay Shares Hedged in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Overlay Shares Hedged 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 Overlay Shares. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Overlay Shares Hedged has no effect on the direction of Citigroup i.e., Citigroup and Overlay Shares go up and down completely randomly.
Pair Corralation between Citigroup and Overlay Shares
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.85 times more return on investment than Overlay Shares. However, Citigroup is 2.85 times more volatile than Overlay Shares Hedged. It trades about 0.08 of its potential returns per unit of risk. Overlay Shares Hedged is currently generating about 0.12 per unit of risk. If you would invest 4,492 in Citigroup on November 28, 2024 and sell it today you would earn a total of 3,322 from holding Citigroup or generate 73.95% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 99.8% |
| Values | Daily Returns |
Citigroup vs. Overlay Shares Hedged
Performance |
| Timeline |
| Citigroup |
| Overlay Shares Hedged |
Citigroup and Overlay Shares Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Overlay Shares
The main advantage of trading using opposite Citigroup and Overlay Shares positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Overlay Shares 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 Overlay Shares will offset losses from the drop in Overlay Shares' long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Overlay Shares vs. Listed Funds Trust | Overlay Shares vs. Overlay Shares Core | Overlay Shares vs. Overlay Shares Large | Overlay Shares vs. Overlay Shares Municipal |
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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
Other Complementary Tools
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Cryptocurrency Center Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency | |
| Global Markets Map Get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes | |
| Portfolio Diagnostics Use generated alerts and portfolio events aggregator to diagnose current holdings | |
| Top Crypto Exchanges Search and analyze digital assets across top global cryptocurrency exchanges |