Correlation Between ING Group and Citigroup
Can any of the company-specific risk be diversified away by investing in both ING Group 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 ING Group and Citigroup into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ING Group NV and Citigroup, you can compare the effects of market volatilities on ING Group 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 ING Group with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of ING Group and Citigroup.
Diversification Opportunities for ING Group and Citigroup
Very poor diversification
The 3 months correlation between ING and Citigroup is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding ING Group NV and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and ING Group 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 ING Group NV 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 ING Group i.e., ING Group and Citigroup go up and down completely randomly.
Pair Corralation between ING Group and Citigroup
Considering the 90-day investment horizon ING Group NV is expected to under-perform the Citigroup. In addition to that, ING Group is 1.27 times more volatile than Citigroup. It trades about -0.03 of its total potential returns per unit of risk. Citigroup is currently generating about 0.08 per unit of volatility. If you would invest 6,095 in Citigroup on January 25, 2024 and sell it today you would earn a total of 153.00 from holding Citigroup or generate 2.51% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
ING Group NV vs. Citigroup
Performance |
| Timeline |
| ING Group NV |
| Citigroup |
ING Group and Citigroup Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ING Group and Citigroup
The main advantage of trading using opposite ING Group and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ING Group 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.| ING Group vs. Natwest Group PLC | ING Group vs. HSBC Holdings PLC | ING Group vs. Banco Santander SA | ING Group vs. UBS Group AG |
| 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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