Correlation Between CITIGROUP and Diageo PLC
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By analyzing existing cross correlation between CITIGROUP INC 43 and Diageo PLC ADR, you can compare the effects of market volatilities on CITIGROUP and Diageo PLC 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 Diageo PLC. Check out your portfolio center. Please also check ongoing floating volatility patterns of CITIGROUP and Diageo PLC.
Diversification Opportunities for CITIGROUP and Diageo PLC
0.45 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between CITIGROUP and Diageo is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding CITIGROUP INC 43 and Diageo PLC ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Diageo PLC ADR 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 INC 43 are associated (or correlated) with Diageo PLC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Diageo PLC ADR has no effect on the direction of CITIGROUP i.e., CITIGROUP and Diageo PLC go up and down completely randomly.
Pair Corralation between CITIGROUP and Diageo PLC
Assuming the 90 days trading horizon CITIGROUP INC 43 is expected to under-perform the Diageo PLC. In addition to that, CITIGROUP is 1.03 times more volatile than Diageo PLC ADR. It trades about -0.18 of its total potential returns per unit of risk. Diageo PLC ADR is currently generating about -0.16 per unit of volatility. If you would invest 12,416 in Diageo PLC ADR on September 1, 2024 and sell it today you would lose (480.00) from holding Diageo PLC ADR or give up 3.87% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
CITIGROUP INC 43 vs. Diageo PLC ADR
Performance |
| Timeline |
| CITIGROUP INC 43 |
| Diageo PLC ADR |
CITIGROUP and Diageo PLC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CITIGROUP and Diageo PLC
The main advantage of trading using opposite CITIGROUP and Diageo PLC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CITIGROUP position performs unexpectedly, Diageo PLC 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 Diageo PLC will offset losses from the drop in Diageo PLC's long position.| CITIGROUP vs. Diageo PLC ADR | CITIGROUP vs. Iridium Communications | CITIGROUP vs. Ambev SA ADR | CITIGROUP vs. Radcom |
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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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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