Correlation Between Citigroup and Value Line
Can any of the company-specific risk be diversified away by investing in both Citigroup and Value Line 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 Value Line into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Value Line, you can compare the effects of market volatilities on Citigroup and Value Line 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 Value Line. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Value Line.
Diversification Opportunities for Citigroup and Value Line
0.82 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and Value is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Value Line in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Value Line 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 Value Line. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Value Line has no effect on the direction of Citigroup i.e., Citigroup and Value Line go up and down completely randomly.
Pair Corralation between Citigroup and Value Line
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.68 times more return on investment than Value Line. However, Citigroup is 1.47 times less risky than Value Line. It trades about 0.2 of its potential returns per unit of risk. Value Line is currently generating about 0.02 per unit of risk. If you would invest 6,412 in Citigroup on August 30, 2024 and sell it today you would earn a total of 604.00 from holding Citigroup or generate 9.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Value Line
Performance |
| Timeline |
| Citigroup |
| Value Line |
Citigroup and Value Line Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Value Line
The main advantage of trading using opposite Citigroup and Value Line positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Value Line 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 Value Line will offset losses from the drop in Value Line's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Value Line vs. Dun Bradstreet Holdings | Value Line vs. FactSet Research Systems | Value Line vs. Moodys | Value Line vs. MSCI 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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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