Correlation Between Citigroup and SUNCOKE ENERGY
Can any of the company-specific risk be diversified away by investing in both Citigroup and SUNCOKE ENERGY 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 SUNCOKE ENERGY into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and SUNCOKE ENERGY, you can compare the effects of market volatilities on Citigroup and SUNCOKE ENERGY 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 SUNCOKE ENERGY. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and SUNCOKE ENERGY.
Diversification Opportunities for Citigroup and SUNCOKE ENERGY
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Citigroup and SUNCOKE is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and SUNCOKE ENERGY in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SUNCOKE ENERGY 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 SUNCOKE ENERGY. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SUNCOKE ENERGY has no effect on the direction of Citigroup i.e., Citigroup and SUNCOKE ENERGY go up and down completely randomly.
Pair Corralation between Citigroup and SUNCOKE ENERGY
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.62 times more return on investment than SUNCOKE ENERGY. However, Citigroup is 1.61 times less risky than SUNCOKE ENERGY. It trades about 0.11 of its potential returns per unit of risk. SUNCOKE ENERGY is currently generating about 0.07 per unit of risk. If you would invest 4,642 in Citigroup on September 5, 2024 and sell it today you would earn a total of 2,500 from holding Citigroup or generate 53.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 98.41% |
| Values | Daily Returns |
Citigroup vs. SUNCOKE ENERGY
Performance |
| Timeline |
| Citigroup |
| SUNCOKE ENERGY |
Citigroup and SUNCOKE ENERGY Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and SUNCOKE ENERGY
The main advantage of trading using opposite Citigroup and SUNCOKE ENERGY positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, SUNCOKE ENERGY 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 SUNCOKE ENERGY will offset losses from the drop in SUNCOKE ENERGY's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| SUNCOKE ENERGY vs. TOTAL GABON | SUNCOKE ENERGY vs. Walgreens Boots Alliance | SUNCOKE ENERGY vs. Peak Resources Limited |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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