Correlation Between Citigroup and IShares Core
Can any of the company-specific risk be diversified away by investing in both Citigroup and IShares Core 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 Core into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and iShares Core SP, you can compare the effects of market volatilities on Citigroup and IShares Core 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 Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and IShares Core.
Diversification Opportunities for Citigroup and IShares Core
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and IShares is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and iShares Core SP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Core SP 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 Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Core SP has no effect on the direction of Citigroup i.e., Citigroup and IShares Core go up and down completely randomly.
Pair Corralation between Citigroup and IShares Core
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.09 times more return on investment than IShares Core. However, Citigroup is 2.09 times more volatile than iShares Core SP. It trades about 0.08 of its potential returns per unit of risk. iShares Core SP is currently generating about 0.13 per unit of risk. If you would invest 4,544 in Citigroup on September 1, 2024 and sell it today you would earn a total of 2,543 from holding Citigroup or generate 55.96% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. iShares Core SP
Performance |
| Timeline |
| Citigroup |
| iShares Core SP |
Citigroup and IShares Core Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and IShares Core
The main advantage of trading using opposite Citigroup and IShares Core positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, IShares Core 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 Core will offset losses from the drop in IShares Core's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| IShares Core vs. iShares SPTSX 60 | IShares Core vs. iShares MSCI EAFE | IShares Core vs. iShares Core SPTSX | IShares Core vs. iShares SPTSX Capped |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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