Correlation Between Comerica and Citigroup
Can any of the company-specific risk be diversified away by investing in both Comerica 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 Comerica and Citigroup into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Comerica and Citigroup, you can compare the effects of market volatilities on Comerica 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 Comerica with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of Comerica and Citigroup.
Diversification Opportunities for Comerica and Citigroup
Weak diversification
The 3 months correlation between Comerica and Citigroup is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Comerica and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Comerica 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 Comerica 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 Comerica i.e., Comerica and Citigroup go up and down completely randomly.
Pair Corralation between Comerica and Citigroup
Considering the 90-day investment horizon Comerica is expected to under-perform the Citigroup. In addition to that, Comerica is 1.71 times more volatile than Citigroup. It trades about -0.01 of its total potential returns per unit of risk. Citigroup is currently generating about 0.04 per unit of volatility. If you would invest 4,515 in Citigroup on January 20, 2024 and sell it today you would earn a total of 1,317 from holding Citigroup or generate 29.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 99.8% |
| Values | Daily Returns |
Comerica vs. Citigroup
Performance |
| Timeline |
| Comerica |
| Citigroup |
Comerica and Citigroup Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Comerica and Citigroup
The main advantage of trading using opposite Comerica and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Comerica 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.The idea behind Comerica and Citigroup 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.| 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Other Complementary Tools
| Equity Search Search for actively traded equities including funds and ETFs from over 30 global markets | |
| Bollinger Bands Use Bollinger Bands indicator to analyze target price for a given investing horizon | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Positions Ratings Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities | |
| My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like |