Correlation Between Citigroup and VanEck CEF
Can any of the company-specific risk be diversified away by investing in both Citigroup and VanEck CEF 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 VanEck CEF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and VanEck CEF Municipal, you can compare the effects of market volatilities on Citigroup and VanEck CEF 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 VanEck CEF. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and VanEck CEF.
Diversification Opportunities for Citigroup and VanEck CEF
-0.36 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Citigroup and VanEck is -0.36. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and VanEck CEF Municipal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on VanEck CEF Municipal 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 VanEck CEF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VanEck CEF Municipal has no effect on the direction of Citigroup i.e., Citigroup and VanEck CEF go up and down completely randomly.
Pair Corralation between Citigroup and VanEck CEF
Taking into account the 90-day investment horizon Citigroup is expected to generate 3.96 times more return on investment than VanEck CEF. However, Citigroup is 3.96 times more volatile than VanEck CEF Municipal. It trades about 0.24 of its potential returns per unit of risk. VanEck CEF Municipal is currently generating about 0.05 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 Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. VanEck CEF Municipal
Performance |
| Timeline |
| Citigroup |
| VanEck CEF Municipal |
Citigroup and VanEck CEF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and VanEck CEF
The main advantage of trading using opposite Citigroup and VanEck CEF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, VanEck CEF 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 VanEck CEF will offset losses from the drop in VanEck CEF's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| VanEck CEF vs. SPDR Nuveen Bloomberg | VanEck CEF vs. VanEck High Yield | VanEck CEF vs. VanEck Short Muni | VanEck CEF vs. VanEck Long Muni |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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