Correlation Between Citigroup and Sempra
Can any of the company-specific risk be diversified away by investing in both Citigroup and Sempra 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 Sempra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Sempra, you can compare the effects of market volatilities on Citigroup and Sempra 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 Sempra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Sempra.
Diversification Opportunities for Citigroup and Sempra
Poor diversification
The 3 months correlation between Citigroup and Sempra is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Sempra in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sempra 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 Sempra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sempra has no effect on the direction of Citigroup i.e., Citigroup and Sempra go up and down completely randomly.
Pair Corralation between Citigroup and Sempra
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.14 times more return on investment than Sempra. However, Citigroup is 1.14 times more volatile than Sempra. It trades about 0.08 of its potential returns per unit of risk. Sempra is currently generating about 0.08 per unit of risk. If you would invest 4,377 in Citigroup on August 31, 2024 and sell it today you would earn a total of 2,639 from holding Citigroup or generate 60.29% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Sempra
Performance |
| Timeline |
| Citigroup |
| Sempra |
Citigroup and Sempra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Sempra
The main advantage of trading using opposite Citigroup and Sempra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Sempra 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 Sempra will offset losses from the drop in Sempra's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Sempra vs. Verizon Communications | Sempra vs. Monster Beverage Corp | Sempra vs. Ameriprise Financial | Sempra vs. Prudential Financial |
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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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