Correlation Between Citigroup and Sparinvest Value
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By analyzing existing cross correlation between Citigroup and Sparinvest Value Emerging, you can compare the effects of market volatilities on Citigroup and Sparinvest Value 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 Sparinvest Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Sparinvest Value.
Diversification Opportunities for Citigroup and Sparinvest Value
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and Sparinvest is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Sparinvest Value Emerging in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sparinvest Value Emerging 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 are associated (or correlated) with Sparinvest Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sparinvest Value Emerging has no effect on the direction of Citigroup i.e., Citigroup and Sparinvest Value go up and down completely randomly.
Pair Corralation between Citigroup and Sparinvest Value
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.39 times more return on investment than Sparinvest Value. However, Citigroup is 1.39 times more volatile than Sparinvest Value Emerging. It trades about 0.08 of its potential returns per unit of risk. Sparinvest Value Emerging is currently generating about 0.02 per unit of risk. If you would invest 6,095 in Citigroup on January 25, 2024 and sell it today you would earn a total of 152.00 from holding Citigroup or generate 2.49% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 90.91% |
Values | Daily Returns |
Citigroup vs. Sparinvest Value Emerging
Performance |
Timeline |
Citigroup |
Sparinvest Value Emerging |
Citigroup and Sparinvest Value Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Citigroup and Sparinvest Value
The main advantage of trading using opposite Citigroup and Sparinvest Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Sparinvest Value 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 Sparinvest Value will offset losses from the drop in Sparinvest Value's long position.Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
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