Correlation Between Citigroup and ALLSTATE
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By analyzing existing cross correlation between Citigroup and ALLSTATE P 535, you can compare the effects of market volatilities on Citigroup and ALLSTATE 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 ALLSTATE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and ALLSTATE.
Diversification Opportunities for Citigroup and ALLSTATE
Excellent diversification
The 3 months correlation between Citigroup and ALLSTATE is -0.64. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and ALLSTATE P 535 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ALLSTATE P 535 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 ALLSTATE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ALLSTATE P 535 has no effect on the direction of Citigroup i.e., Citigroup and ALLSTATE go up and down completely randomly.
Pair Corralation between Citigroup and ALLSTATE
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.32 times more return on investment than ALLSTATE. However, Citigroup is 2.32 times more volatile than ALLSTATE P 535. It trades about 0.08 of its potential returns per unit of risk. ALLSTATE P 535 is currently generating about 0.03 per unit of risk. If you would invest 5,992 in Citigroup on September 2, 2024 and sell it today you would earn a total of 1,095 from holding Citigroup or generate 18.27% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 80.16% |
| Values | Daily Returns |
Citigroup vs. ALLSTATE P 535
Performance |
| Timeline |
| Citigroup |
| ALLSTATE P 535 |
Citigroup and ALLSTATE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and ALLSTATE
The main advantage of trading using opposite Citigroup and ALLSTATE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, ALLSTATE 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 ALLSTATE will offset losses from the drop in ALLSTATE's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| ALLSTATE vs. Elmos Semiconductor SE | ALLSTATE vs. Radcom | ALLSTATE vs. ON Semiconductor | ALLSTATE vs. Entegris |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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