Correlation Between Citigroup and JP Morgan

By analyzing existing cross correlation between Citigroup and JP Morgan Chase you can compare the effects of market volatilities on Citigroup and JP Morgan 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 JP Morgan. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and JP Morgan.

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Can any of the company-specific risk be diversified away by investing in both Citigroup and JP Morgan at the same time? Although using correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combing Citigroup and JP Morgan into the same portfolio which is an essential part of fundamental portfolio management process.

Diversification Opportunities for Citigroup and JP Morgan

0.97
Correlation
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Almost no diversification

The 3 months correlation between Citigroup and JP Morgan is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and JP Morgan Chase Co in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on JP Morgan 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 JP Morgan. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JP Morgan Chase has no effect on the direction of Citigroup i.e. Citigroup and JP Morgan go up and down completely randomly.

Pair Corralation between Citigroup and JP Morgan

Taking into account the 30 trading days horizon, Citigroup is expected to under-perform the JP Morgan. In addition to that, Citigroup is 1.24 times more volatile than JP Morgan Chase. It trades about -0.04 of its total potential returns per unit of risk. JP Morgan Chase is currently generating about -0.03 per unit of volatility. If you would invest  12,152  in JP Morgan Chase on April 29, 2020 and sell it today you would lose (2,166)  from holding JP Morgan Chase or give up 17.82% of portfolio value over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Citigroup Inc  vs.  JP Morgan Chase Co

 Performance (%) 
      Timeline 
Citigroup 
00

Citigroup Risk-Adjusted Performance

Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions. Despite sluggish performance in the last few months, the Stock's basic indicators remain somewhat strong which may send shares a bit higher in June 2020. The current disturbance may also be a sign of long term up-swing for the company investors.
JP Morgan Chase 
00

JP Morgan Risk-Adjusted Performance

Over the last 30 days JP Morgan Chase has generated negative risk-adjusted returns adding no value to investors with long positions. Even with latest weak performance, the Stock's technical indicators remain steady and the new chaos on Wall Street may also be a sign of medium-term gains for the business stakeholders.

Citigroup and JP Morgan Volatility Contrast

 Predicted Return Density 
      Returns 
Check out your portfolio center. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.


 
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