Correlation Between Citigroup and 30 Year
Can any of the company-specific risk be diversified away by investing in both Citigroup and 30 Year 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 30 Year into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and 30 Year Treasury, you can compare the effects of market volatilities on Citigroup and 30 Year 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 30 Year. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and 30 Year.
Diversification Opportunities for Citigroup and 30 Year
Pay attention - limited upside
The 3 months correlation between Citigroup and ZBUSD is -0.8. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and 30 Year Treasury in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on 30 Year Treasury 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 30 Year. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of 30 Year Treasury has no effect on the direction of Citigroup i.e., Citigroup and 30 Year go up and down completely randomly.
Pair Corralation between Citigroup and 30 Year
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.59 times more return on investment than 30 Year. However, Citigroup is 2.59 times more volatile than 30 Year Treasury. It trades about 0.09 of its potential returns per unit of risk. 30 Year Treasury is currently generating about -0.01 per unit of risk. If you would invest 5,476 in Citigroup on September 1, 2024 and sell it today you would earn a total of 1,611 from holding Citigroup or generate 29.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 96.91% |
| Values | Daily Returns |
Citigroup vs. 30 Year Treasury
Performance |
| Timeline |
| Citigroup |
| 30 Year Treasury |
Citigroup and 30 Year Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and 30 Year
The main advantage of trading using opposite Citigroup and 30 Year positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, 30 Year 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 30 Year will offset losses from the drop in 30 Year's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| 30 Year vs. Aluminum Futures | 30 Year vs. Cocoa | 30 Year vs. Silver Futures | 30 Year vs. 10 Year T Note Futures |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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