Correlation Between Citigroup and Davis Financial
Can any of the company-specific risk be diversified away by investing in both Citigroup and Davis Financial 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 Davis Financial into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Davis Financial Fund, you can compare the effects of market volatilities on Citigroup and Davis Financial 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 Davis Financial. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Davis Financial.
Diversification Opportunities for Citigroup and Davis Financial
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Citigroup and Davis is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Davis Financial Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Davis Financial 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 Davis Financial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Davis Financial has no effect on the direction of Citigroup i.e., Citigroup and Davis Financial go up and down completely randomly.
Pair Corralation between Citigroup and Davis Financial
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.73 times more return on investment than Davis Financial. However, Citigroup is 1.73 times more volatile than Davis Financial Fund. It trades about 0.09 of its potential returns per unit of risk. Davis Financial Fund is currently generating about 0.14 per unit of risk. If you would invest 5,401 in Citigroup on August 27, 2024 and sell it today you would earn a total of 1,583 from holding Citigroup or generate 29.31% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Davis Financial Fund
Performance |
| Timeline |
| Citigroup |
| Davis Financial |
Citigroup and Davis Financial Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Davis Financial
The main advantage of trading using opposite Citigroup and Davis Financial positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Davis Financial 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 Davis Financial will offset losses from the drop in Davis Financial's long position.| Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal |
| Davis Financial vs. Rbc Bluebay Global | Davis Financial vs. Artisan Emerging Markets | Davis Financial vs. Mirova Global Green | Davis Financial vs. Ms Global Fixed |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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