Correlation Between Citigroup and Sun Life
Can any of the company-specific risk be diversified away by investing in both Citigroup and Sun Life 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 Sun Life into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Sun Life Financial, you can compare the effects of market volatilities on Citigroup and Sun Life 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 Sun Life. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Sun Life.
Diversification Opportunities for Citigroup and Sun Life
Very poor diversification
The 3 months correlation between Citigroup and Sun is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Sun Life Financial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sun Life 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 Sun Life. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sun Life Financial has no effect on the direction of Citigroup i.e., Citigroup and Sun Life go up and down completely randomly.
Pair Corralation between Citigroup and Sun Life
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.2 times more return on investment than Sun Life. However, Citigroup is 2.2 times more volatile than Sun Life Financial. It trades about 0.08 of its potential returns per unit of risk. Sun Life Financial is currently generating about 0.06 per unit of risk. If you would invest 4,685 in Citigroup on November 19, 2024 and sell it today you would earn a total of 3,776 from holding Citigroup or generate 80.6% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Sun Life Financial
Performance |
| Timeline |
| Citigroup |
| Sun Life Financial |
Citigroup and Sun Life Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Sun Life
The main advantage of trading using opposite Citigroup and Sun Life positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Sun Life 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 Sun Life will offset losses from the drop in Sun Life's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Sun Life vs. SalesforceCom CDR | Sun Life vs. Sparx Technology | Sun Life vs. Primaris Retail RE | Sun Life vs. Wishpond Technologies |
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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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