Correlation Between Citigroup and ANZ SP
Can any of the company-specific risk be diversified away by investing in both Citigroup and ANZ SP 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 ANZ SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and ANZ SP 500, you can compare the effects of market volatilities on Citigroup and ANZ SP 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 ANZ SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and ANZ SP.
Diversification Opportunities for Citigroup and ANZ SP
Poor diversification
The 3 months correlation between Citigroup and ANZ is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and ANZ SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ANZ SP 500 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 ANZ SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ANZ SP 500 has no effect on the direction of Citigroup i.e., Citigroup and ANZ SP go up and down completely randomly.
Pair Corralation between Citigroup and ANZ SP
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.17 times more return on investment than ANZ SP. However, Citigroup is 2.17 times more volatile than ANZ SP 500. It trades about 0.1 of its potential returns per unit of risk. ANZ SP 500 is currently generating about 0.1 per unit of risk. If you would invest 4,357 in Citigroup on August 26, 2024 and sell it today you would earn a total of 2,627 from holding Citigroup or generate 60.29% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.11% |
| Values | Daily Returns |
Citigroup vs. ANZ SP 500
Performance |
| Timeline |
| Citigroup |
| ANZ SP 500 |
Citigroup and ANZ SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and ANZ SP
The main advantage of trading using opposite Citigroup and ANZ SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, ANZ SP 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 ANZ SP will offset losses from the drop in ANZ SP's long position.| Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal |
| ANZ SP vs. BetaShares Global Banks | ANZ SP vs. Beta Shares SPASX | ANZ SP vs. SPDR SPASX 200 | ANZ SP vs. Vanguard Australian Property |
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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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