Correlation Between Smead Value and Citigroup
Can any of the company-specific risk be diversified away by investing in both Smead Value 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 Smead Value and Citigroup into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Smead Value Fund and Citigroup, you can compare the effects of market volatilities on Smead Value 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 Smead Value with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of Smead Value and Citigroup.
Diversification Opportunities for Smead Value and Citigroup
0.97 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Smead and Citigroup is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Smead Value Fund and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Smead Value 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 Smead Value Fund 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 Smead Value i.e., Smead Value and Citigroup go up and down completely randomly.
Pair Corralation between Smead Value and Citigroup
Assuming the 90 days horizon Smead Value is expected to generate 2.03 times less return on investment than Citigroup. But when comparing it to its historical volatility, Smead Value Fund is 1.43 times less risky than Citigroup. It trades about 0.18 of its potential returns per unit of risk. Citigroup is currently generating about 0.26 of returns per unit of risk over similar time horizon. If you would invest 3,803 in Citigroup on January 20, 2024 and sell it today you would earn a total of 2,111 from holding Citigroup or generate 55.51% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Smead Value Fund vs. Citigroup
Performance |
| Timeline |
| Smead Value Fund |
| Citigroup |
Smead Value and Citigroup Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Smead Value and Citigroup
The main advantage of trading using opposite Smead Value and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Smead Value 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.| Smead Value vs. Matthew 25 Fund | Smead Value vs. Baron Real Estate | Smead Value vs. Buffalo Emerging Opportunities | Smead Value vs. Eventide Gilead Fund |
| 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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