Correlation Between Citigroup and Vanguard MSCI
Can any of the company-specific risk be diversified away by investing in both Citigroup and Vanguard MSCI 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 MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Vanguard MSCI International, you can compare the effects of market volatilities on Citigroup and Vanguard MSCI 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 MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Vanguard MSCI.
Diversification Opportunities for Citigroup and Vanguard MSCI
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and Vanguard is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Vanguard MSCI International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard MSCI Intern 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 MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard MSCI Intern has no effect on the direction of Citigroup i.e., Citigroup and Vanguard MSCI go up and down completely randomly.
Pair Corralation between Citigroup and Vanguard MSCI
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.76 times more return on investment than Vanguard MSCI. However, Citigroup is 2.76 times more volatile than Vanguard MSCI International. It trades about 0.23 of its potential returns per unit of risk. Vanguard MSCI International is currently generating about 0.2 per unit of risk. If you would invest 6,245 in Citigroup on August 25, 2024 and sell it today you would earn a total of 739.00 from holding Citigroup or generate 11.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Vanguard MSCI International
Performance |
| Timeline |
| Citigroup |
| Vanguard MSCI Intern |
Citigroup and Vanguard MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Vanguard MSCI
The main advantage of trading using opposite Citigroup and Vanguard MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Vanguard MSCI 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 MSCI will offset losses from the drop in Vanguard MSCI's long position.| Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal |
| Vanguard MSCI vs. Vanguard Global Minimum | Vanguard MSCI vs. Vanguard Global Aggregate | Vanguard MSCI vs. Vanguard Australian Fixed | Vanguard MSCI vs. Vanguard Global Infrastructure |
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 Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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