Correlation Between ING Groep and Citigroup
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By analyzing existing cross correlation between ING Groep NV and Citigroup, you can compare the effects of market volatilities on ING Groep and Citigroup 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 ING Groep with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of ING Groep and Citigroup.
Diversification Opportunities for ING Groep and Citigroup
Pay attention - limited upside
The 3 months correlation between ING and Citigroup is -0.9. Overlapping area represents the amount of risk that can be diversified away by holding ING Groep NV and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and ING Groep 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 ING Groep NV are associated (or correlated) with Citigroup. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citigroup has no effect on the direction of ING Groep i.e., ING Groep and Citigroup go up and down completely randomly.
Pair Corralation between ING Groep and Citigroup
Assuming the 90 days trading horizon ING Groep NV is expected to under-perform the Citigroup. But the stock apears to be less risky and, when comparing its historical volatility, ING Groep NV is 2.26 times less risky than Citigroup. The stock trades about -0.31 of its potential returns per unit of risk. The Citigroup is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest 5,873 in Citigroup on August 29, 2024 and sell it today you would earn a total of 796.00 from holding Citigroup or generate 13.55% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ING Groep NV vs. Citigroup
Performance |
| Timeline |
| ING Groep NV |
| Citigroup |
ING Groep and Citigroup Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ING Groep and Citigroup
The main advantage of trading using opposite ING Groep and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ING Groep position performs unexpectedly, Citigroup 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 Citigroup will offset losses from the drop in Citigroup's long position.The idea behind ING Groep NV and Citigroup pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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