Correlation Between Citigroup and JPMorgan Chase

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Can any of the company-specific risk be diversified away by investing in both Citigroup and JPMorgan Chase 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 Citigroup and JPMorgan Chase into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and JPMorgan Chase Co, you can compare the effects of market volatilities on Citigroup and JPMorgan Chase 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 JPMorgan Chase. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and JPMorgan Chase.

Diversification Opportunities for Citigroup and JPMorgan Chase

  Correlation Coefficient

Almost no diversification

The 3 months correlation between Citigroup and JPMorgan is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and JPMorgan Chase Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Chase 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 JPMorgan Chase. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Chase has no effect on the direction of Citigroup i.e., Citigroup and JPMorgan Chase go up and down completely randomly.

Pair Corralation between Citigroup and JPMorgan Chase

Taking into account the 90-day investment horizon Citigroup is expected to under-perform the JPMorgan Chase. In addition to that, Citigroup is 1.13 times more volatile than JPMorgan Chase Co. It trades about -0.04 of its total potential returns per unit of risk. JPMorgan Chase Co is currently generating about -0.01 per unit of volatility. If you would invest  14,610  in JPMorgan Chase Co on December 23, 2022 and sell it today you would lose (1,892)  from holding JPMorgan Chase Co or give up 12.95% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
ValuesDaily Returns

Citigroup  vs.  JPMorgan Chase Co

 Performance (%) 

Citigroup Performance

1 of 100

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound fundamental indicators, Citigroup is not utilizing all of its potentials. The current stock price tumult, may contribute to shorter-term losses for the shareholders.
JPMorgan Chase 

JPMorgan Performance

0 of 100

Over the last 90 days JPMorgan Chase Co has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy basic indicators, JPMorgan Chase is not utilizing all of its potentials. The current stock price disarray, may contribute to short-term losses for the insiders.

Citigroup and JPMorgan Chase Volatility Contrast

   Predicted Return Density   

Pair Trading with Citigroup and JPMorgan Chase

The main advantage of trading using opposite Citigroup and JPMorgan Chase positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, JPMorgan Chase 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 JPMorgan Chase will offset losses from the drop in JPMorgan Chase's long position.
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The idea behind Citigroup and JPMorgan Chase Co pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.

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