Correlation Between Citigroup and State Farm
Can any of the company-specific risk be diversified away by investing in both Citigroup and State Farm 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 State Farm into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and State Farm International, you can compare the effects of market volatilities on Citigroup and State Farm 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 State Farm. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and State Farm.
Diversification Opportunities for Citigroup and State Farm
-0.49 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Citigroup and State is -0.49. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and State Farm International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on State Farm International 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 State Farm. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of State Farm International has no effect on the direction of Citigroup i.e., Citigroup and State Farm go up and down completely randomly.
Pair Corralation between Citigroup and State Farm
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.66 times more return on investment than State Farm. However, Citigroup is 2.66 times more volatile than State Farm International. It trades about 0.07 of its potential returns per unit of risk. State Farm International is currently generating about 0.07 per unit of risk. If you would invest 4,118 in Citigroup on August 29, 2024 and sell it today you would earn a total of 2,898 from holding Citigroup or generate 70.37% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. State Farm International
Performance |
| Timeline |
| Citigroup |
| State Farm International |
Citigroup and State Farm Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and State Farm
The main advantage of trading using opposite Citigroup and State Farm positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, State Farm 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 State Farm will offset losses from the drop in State Farm's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
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