Correlation Between Citigroup and Global Strategy
Can any of the company-specific risk be diversified away by investing in both Citigroup and Global Strategy 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 Global Strategy into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Global Strategy Fund, you can compare the effects of market volatilities on Citigroup and Global Strategy 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 Global Strategy. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Global Strategy.
Diversification Opportunities for Citigroup and Global Strategy
0.54 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Citigroup and Global is 0.54. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Global Strategy Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Global Strategy 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 Global Strategy. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Global Strategy has no effect on the direction of Citigroup i.e., Citigroup and Global Strategy go up and down completely randomly.
Pair Corralation between Citigroup and Global Strategy
Taking into account the 90-day investment horizon Citigroup is expected to generate 4.68 times more return on investment than Global Strategy. However, Citigroup is 4.68 times more volatile than Global Strategy Fund. It trades about 0.13 of its potential returns per unit of risk. Global Strategy Fund is currently generating about 0.13 per unit of risk. If you would invest 6,092 in Citigroup on September 2, 2024 and sell it today you would earn a total of 995.00 from holding Citigroup or generate 16.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Global Strategy Fund
Performance |
| Timeline |
| Citigroup |
| Global Strategy |
Citigroup and Global Strategy Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Global Strategy
The main advantage of trading using opposite Citigroup and Global Strategy positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Global Strategy 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 Global Strategy will offset losses from the drop in Global Strategy's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Global Strategy vs. Mid Cap Index | Global Strategy vs. Mid Cap Strategic | Global Strategy vs. Valic Company I | Global Strategy vs. Valic Company I |
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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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