Correlation Between Citigroup and Small-cap Profund
Can any of the company-specific risk be diversified away by investing in both Citigroup and Small-cap Profund 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 Small-cap Profund into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Small Cap Profund Small Cap, you can compare the effects of market volatilities on Citigroup and Small-cap Profund 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 Small-cap Profund. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Small-cap Profund.
Diversification Opportunities for Citigroup and Small-cap Profund
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and Small-cap is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Small Cap Profund Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Small Cap Profund 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 Small-cap Profund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Small Cap Profund has no effect on the direction of Citigroup i.e., Citigroup and Small-cap Profund go up and down completely randomly.
Pair Corralation between Citigroup and Small-cap Profund
Taking into account the 90-day investment horizon Citigroup is expected to under-perform the Small-cap Profund. In addition to that, Citigroup is 1.54 times more volatile than Small Cap Profund Small Cap. It trades about -0.25 of its total potential returns per unit of risk. Small Cap Profund Small Cap is currently generating about -0.2 per unit of volatility. If you would invest 11,050 in Small Cap Profund Small Cap on December 30, 2024 and sell it today you would lose (723.00) from holding Small Cap Profund Small Cap or give up 6.54% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Small Cap Profund Small Cap
Performance |
| Timeline |
| Citigroup |
| Small Cap Profund |
Citigroup and Small-cap Profund Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Small-cap Profund
The main advantage of trading using opposite Citigroup and Small-cap Profund positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Small-cap Profund 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 Small-cap Profund will offset losses from the drop in Small-cap Profund's long position.| Citigroup vs. PJT Partners | ||
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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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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