Correlation Between Citigroup and Pgim Jennison
Can any of the company-specific risk be diversified away by investing in both Citigroup and Pgim Jennison 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 Pgim Jennison into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Pgim Jennison Diversified, you can compare the effects of market volatilities on Citigroup and Pgim Jennison 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 Pgim Jennison. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Pgim Jennison.
Diversification Opportunities for Citigroup and Pgim Jennison
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and Pgim is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Pgim Jennison Diversified in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pgim Jennison Diversified 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 Pgim Jennison. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pgim Jennison Diversified has no effect on the direction of Citigroup i.e., Citigroup and Pgim Jennison go up and down completely randomly.
Pair Corralation between Citigroup and Pgim Jennison
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.84 times more return on investment than Pgim Jennison. However, Citigroup is 1.84 times more volatile than Pgim Jennison Diversified. It trades about 0.21 of its potential returns per unit of risk. Pgim Jennison Diversified is currently generating about 0.09 per unit of risk. If you would invest 6,393 in Citigroup on August 31, 2024 and sell it today you would earn a total of 623.00 from holding Citigroup or generate 9.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Pgim Jennison Diversified
Performance |
| Timeline |
| Citigroup |
| Pgim Jennison Diversified |
Citigroup and Pgim Jennison Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Pgim Jennison
The main advantage of trading using opposite Citigroup and Pgim Jennison positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Pgim Jennison 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 Pgim Jennison will offset losses from the drop in Pgim Jennison's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Pgim Jennison vs. Europacific Growth Fund | Pgim Jennison vs. Washington Mutual Investors | Pgim Jennison vs. Capital World Growth | Pgim Jennison vs. HUMANA INC |
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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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