Correlation Between Citigroup and Vanguard FTSE
Can any of the company-specific risk be diversified away by investing in both Citigroup and Vanguard FTSE 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 Vanguard FTSE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Vanguard FTSE Canada, you can compare the effects of market volatilities on Citigroup and Vanguard FTSE 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 Vanguard FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Vanguard FTSE.
Diversification Opportunities for Citigroup and Vanguard FTSE
0.32 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Citigroup and Vanguard is 0.32. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Vanguard FTSE Canada in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard FTSE Canada 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 Vanguard FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard FTSE Canada has no effect on the direction of Citigroup i.e., Citigroup and Vanguard FTSE go up and down completely randomly.
Pair Corralation between Citigroup and Vanguard FTSE
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.36 times more return on investment than Vanguard FTSE. However, Citigroup is 2.36 times more volatile than Vanguard FTSE Canada. It trades about 0.21 of its potential returns per unit of risk. Vanguard FTSE Canada is currently generating about 0.02 per unit of risk. If you would invest 7,142 in Citigroup on November 3, 2024 and sell it today you would earn a total of 1,001 from holding Citigroup or generate 14.02% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 97.62% |
| Values | Daily Returns |
Citigroup vs. Vanguard FTSE Canada
Performance |
| Timeline |
| Citigroup |
| Vanguard FTSE Canada |
Citigroup and Vanguard FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Vanguard FTSE
The main advantage of trading using opposite Citigroup and Vanguard FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Vanguard FTSE 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 Vanguard FTSE will offset losses from the drop in Vanguard FTSE's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Vanguard FTSE vs. Vanguard FTSE Developed | Vanguard FTSE vs. Vanguard FTSE Emerging | Vanguard FTSE vs. Vanguard Total Market | Vanguard FTSE vs. Vanguard Canadian Aggregate |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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