Correlation Between Citigroup and US Treasury
Can any of the company-specific risk be diversified away by investing in both Citigroup and US Treasury 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 US Treasury into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and US Treasury 30, you can compare the effects of market volatilities on Citigroup and US Treasury 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 US Treasury. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and US Treasury.
Diversification Opportunities for Citigroup and US Treasury
-0.83 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Citigroup and UTHY is -0.83. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and US Treasury 30 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on US Treasury 30 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 US Treasury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of US Treasury 30 has no effect on the direction of Citigroup i.e., Citigroup and US Treasury go up and down completely randomly.
Pair Corralation between Citigroup and US Treasury
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.67 times more return on investment than US Treasury. However, Citigroup is 1.67 times more volatile than US Treasury 30. It trades about 0.07 of its potential returns per unit of risk. US Treasury 30 is currently generating about -0.01 per unit of risk. If you would invest 4,118 in Citigroup on August 29, 2024 and sell it today you would earn a total of 2,898 from holding Citigroup or generate 70.37% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 85.28% |
| Values | Daily Returns |
Citigroup vs. US Treasury 30
Performance |
| Timeline |
| Citigroup |
| US Treasury 30 |
Citigroup and US Treasury Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and US Treasury
The main advantage of trading using opposite Citigroup and US Treasury positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, US Treasury 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 US Treasury will offset losses from the drop in US Treasury's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| US Treasury vs. US Treasury 20 | US Treasury vs. US Treasury 5 | US Treasury vs. US Treasury 3 | US Treasury vs. Rbb Fund |
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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..
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