Correlation Between ACNB and Citigroup
Can any of the company-specific risk be diversified away by investing in both ACNB and Citigroup 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 ACNB and Citigroup into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ACNB Corporation and Citigroup, you can compare the effects of market volatilities on ACNB 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 ACNB with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of ACNB and Citigroup.
Diversification Opportunities for ACNB and Citigroup
Excellent diversification
The 3 months correlation between ACNB and Citigroup is -0.62. Overlapping area represents the amount of risk that can be diversified away by holding ACNB Corp. and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and ACNB 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 ACNB Corporation 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 ACNB i.e., ACNB and Citigroup go up and down completely randomly.
Pair Corralation between ACNB and Citigroup
Given the investment horizon of 90 days ACNB Corporation is not expected to generate positive returns. Moreover, ACNB is 1.97 times more volatile than Citigroup. It trades away all of its potential returns to assume current level of volatility. Citigroup is currently generating about 0.1 per unit of risk. If you would invest 4,607 in Citigroup on January 19, 2024 and sell it today you would earn a total of 1,249 from holding Citigroup or generate 27.11% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ACNB Corp. vs. Citigroup
Performance |
| Timeline |
| ACNB |
| Citigroup |
ACNB and Citigroup Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ACNB and Citigroup
The main advantage of trading using opposite ACNB and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ACNB 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.| ACNB vs. Bankwell Financial Group | ACNB vs. Codorus Valley Bancorp | ACNB vs. Ames National | ACNB vs. Chemung Financial Corp |
| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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