Correlation Between Citizens and SPDR SP
Can any of the company-specific risk be diversified away by investing in both Citizens and SPDR 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 Citizens and SPDR SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citizens and SPDR SP International, you can compare the effects of market volatilities on Citizens and SPDR 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 Citizens with a short position of SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citizens and SPDR SP.
Diversification Opportunities for Citizens and SPDR SP
Poor diversification
The 3 months correlation between Citizens and SPDR is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Citizens and SPDR SP International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP International and Citizens 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 Citizens are associated (or correlated) with SPDR SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP International has no effect on the direction of Citizens i.e., Citizens and SPDR SP go up and down completely randomly.
Pair Corralation between Citizens and SPDR SP
Considering the 90-day investment horizon Citizens is expected to generate 1.47 times less return on investment than SPDR SP. In addition to that, Citizens is 3.83 times more volatile than SPDR SP International. It trades about 0.03 of its total potential returns per unit of risk. SPDR SP International is currently generating about 0.14 per unit of volatility. If you would invest 3,042 in SPDR SP International on December 11, 2024 and sell it today you would earn a total of 162.00 from holding SPDR SP International or generate 5.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citizens vs. SPDR SP International
Performance |
| Timeline |
| Citizens |
| SPDR SP International |
Citizens and SPDR SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citizens and SPDR SP
The main advantage of trading using opposite Citizens and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citizens position performs unexpectedly, SPDR 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 SPDR SP will offset losses from the drop in SPDR SP's long position.| Citizens vs. CNO Financial Group | ||
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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 Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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