Correlation Between NYSE Composite and CITIGROUP
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By analyzing existing cross correlation between NYSE Composite and CITIGROUP INC, you can compare the effects of market volatilities on NYSE Composite 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 NYSE Composite with a short position of CITIGROUP. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and CITIGROUP.
Diversification Opportunities for NYSE Composite and CITIGROUP
-0.01 | Correlation Coefficient |
Good diversification
The 3 months correlation between NYSE and CITIGROUP is -0.01. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and CITIGROUP INC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CITIGROUP INC and NYSE Composite 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 NYSE Composite 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 INC has no effect on the direction of NYSE Composite i.e., NYSE Composite and CITIGROUP go up and down completely randomly.
Pair Corralation between NYSE Composite and CITIGROUP
Assuming the 90 days trading horizon NYSE Composite is expected to generate 0.56 times more return on investment than CITIGROUP. However, NYSE Composite is 1.8 times less risky than CITIGROUP. It trades about 0.19 of its potential returns per unit of risk. CITIGROUP INC is currently generating about -0.14 per unit of risk. If you would invest 1,907,793 in NYSE Composite on November 30, 2024 and sell it today you would earn a total of 95,026 from holding NYSE Composite or generate 4.98% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 97.62% |
| Values | Daily Returns |
NYSE Composite vs. CITIGROUP INC
Performance |
| Timeline |
NYSE Composite and CITIGROUP Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
CITIGROUP INC
Pair trading matchups for CITIGROUP
Pair Trading with NYSE Composite and CITIGROUP
The main advantage of trading using opposite NYSE Composite and CITIGROUP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite 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.| NYSE Composite vs. Intuitive Surgical | NYSE Composite vs. Franklin Wireless Corp | NYSE Composite vs. Idaho Strategic Resources | NYSE Composite vs. Femasys |
| CITIGROUP vs. Antero Midstream Partners | CITIGROUP vs. Suburban Propane Partners | CITIGROUP vs. BRP Inc | CITIGROUP vs. WEC Energy Group |
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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