Correlation Between Citigroup and Thornburg Value
Can any of the company-specific risk be diversified away by investing in both Citigroup and Thornburg Value 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 Thornburg Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Thornburg Value Fund, you can compare the effects of market volatilities on Citigroup and Thornburg Value 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 Thornburg Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Thornburg Value.
Diversification Opportunities for Citigroup and Thornburg Value
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Citigroup and Thornburg is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Thornburg Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thornburg Value 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 Thornburg Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thornburg Value has no effect on the direction of Citigroup i.e., Citigroup and Thornburg Value go up and down completely randomly.
Pair Corralation between Citigroup and Thornburg Value
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.03 times less return on investment than Thornburg Value. In addition to that, Citigroup is 1.62 times more volatile than Thornburg Value Fund. It trades about 0.07 of its total potential returns per unit of risk. Thornburg Value Fund is currently generating about 0.12 per unit of volatility. If you would invest 7,124 in Thornburg Value Fund on September 1, 2024 and sell it today you would earn a total of 1,354 from holding Thornburg Value Fund or generate 19.01% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 99.21% |
| Values | Daily Returns |
Citigroup vs. Thornburg Value Fund
Performance |
| Timeline |
| Citigroup |
| Thornburg Value |
Citigroup and Thornburg Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Thornburg Value
The main advantage of trading using opposite Citigroup and Thornburg Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Thornburg Value 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 Thornburg Value will offset losses from the drop in Thornburg Value's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Thornburg Value vs. Thornburg Value Fund | Thornburg Value vs. Thornburg New York | Thornburg Value vs. Thornburg International Value | Thornburg Value vs. Thornburg International Value |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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