Correlation Between Citigroup and IShares SPTSX
Can any of the company-specific risk be diversified away by investing in both Citigroup and IShares SPTSX 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 IShares SPTSX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and iShares SPTSX Small, you can compare the effects of market volatilities on Citigroup and IShares SPTSX 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 IShares SPTSX. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and IShares SPTSX.
Diversification Opportunities for Citigroup and IShares SPTSX
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and IShares is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and iShares SPTSX Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SPTSX Small 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 IShares SPTSX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SPTSX Small has no effect on the direction of Citigroup i.e., Citigroup and IShares SPTSX go up and down completely randomly.
Pair Corralation between Citigroup and IShares SPTSX
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.88 times more return on investment than IShares SPTSX. However, Citigroup is 1.88 times more volatile than iShares SPTSX Small. It trades about 0.07 of its potential returns per unit of risk. iShares SPTSX Small is currently generating about 0.09 per unit of risk. If you would invest 6,079 in Citigroup on September 1, 2024 and sell it today you would earn a total of 1,008 from holding Citigroup or generate 16.58% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. iShares SPTSX Small
Performance |
| Timeline |
| Citigroup |
| iShares SPTSX Small |
Citigroup and IShares SPTSX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and IShares SPTSX
The main advantage of trading using opposite Citigroup and IShares SPTSX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, IShares SPTSX 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 IShares SPTSX will offset losses from the drop in IShares SPTSX's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| IShares SPTSX vs. iShares Convertible Bond | IShares SPTSX vs. iShares SP Mid Cap | IShares SPTSX vs. iShares Edge MSCI | IShares SPTSX vs. iShares Flexible Monthly |
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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
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