Correlation Between Citigroup and SBF 120
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By analyzing existing cross correlation between Citigroup and SBF 120 Gross, you can compare the effects of market volatilities on Citigroup and SBF 120 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 SBF 120. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and SBF 120.
Diversification Opportunities for Citigroup and SBF 120
Excellent diversification
The 3 months correlation between Citigroup and SBF is -0.66. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and SBF 120 Gross in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SBF 120 Gross 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 SBF 120. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SBF 120 Gross has no effect on the direction of Citigroup i.e., Citigroup and SBF 120 go up and down completely randomly.
Pair Corralation between Citigroup and SBF 120
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.04 times more return on investment than SBF 120. However, Citigroup is 2.04 times more volatile than SBF 120 Gross. It trades about 0.07 of its potential returns per unit of risk. SBF 120 Gross is currently generating about -0.07 per unit of risk. If you would invest 6,079 in Citigroup on September 1, 2024 and sell it today you would earn a total of 1,008 from holding Citigroup or generate 16.58% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 96.18% |
| Values | Daily Returns |
Citigroup vs. SBF 120 Gross
Performance |
| Timeline |
Citigroup and SBF 120 Volatility Contrast
Predicted Return Density |
| Returns |
Citigroup
Pair trading matchups for Citigroup
SBF 120 Gross
Pair trading matchups for SBF 120
Pair Trading with Citigroup and SBF 120
The main advantage of trading using opposite Citigroup and SBF 120 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, SBF 120 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 SBF 120 will offset losses from the drop in SBF 120's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| SBF 120 vs. Vastned Retail NV | SBF 120 vs. AMG Advanced Metallurgical | SBF 120 vs. Allfunds Group | SBF 120 vs. BE Semiconductor Industries |
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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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