Correlation Between Citigroup and AMGEN
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By analyzing existing cross correlation between Citigroup and AMGEN INC, you can compare the effects of market volatilities on Citigroup and AMGEN 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 AMGEN. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and AMGEN.
Diversification Opportunities for Citigroup and AMGEN
Pay attention - limited upside
The 3 months correlation between Citigroup and AMGEN is -0.82. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and AMGEN INC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AMGEN INC 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 AMGEN. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AMGEN INC has no effect on the direction of Citigroup i.e., Citigroup and AMGEN go up and down completely randomly.
Pair Corralation between Citigroup and AMGEN
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.13 times more return on investment than AMGEN. However, Citigroup is 1.13 times more volatile than AMGEN INC. It trades about 0.26 of its potential returns per unit of risk. AMGEN INC is currently generating about -0.08 per unit of risk. If you would invest 6,361 in Citigroup on September 1, 2024 and sell it today you would earn a total of 726.00 from holding Citigroup or generate 11.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. AMGEN INC
Performance |
| Timeline |
| Citigroup |
| AMGEN INC |
Citigroup and AMGEN Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and AMGEN
The main advantage of trading using opposite Citigroup and AMGEN positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, AMGEN 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 AMGEN will offset losses from the drop in AMGEN's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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