Citigroup Correlations

C Stock

USD 93.69 1.77 1.85%

The current 90-days correlation between Citigroup and Bank of America is 0.71 (i.e., Poor diversification). The correlation of Citigroup is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Citigroup Correlation With Market

Poor diversification

The correlation between Citigroup and DJI is 0.64 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Citigroup Stock

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Citigroup. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in banks.

For information on how to trade Citigroup Stock refer to our How to Trade Citigroup Stock guide.

Moving together with Citigroup Stock

0.93	BK	Bank of New York	Pair Corr
0.94	CM	Canadian Imperial Bank	Pair Corr
0.85	RY	Royal Bank	Pair Corr
0.86	TD	Toronto Dominion Bank	Pair Corr
0.79	EWBC	East West Bancorp	Pair Corr
0.81	BAC	Bank of America	Pair Corr
0.9	BCS	Barclays PLC ADR	Pair Corr
0.92	BMO	Bank of Montreal	Pair Corr
0.93	BNS	Bank of Nova Scotia	Pair Corr
0.9	ING	ING Group NV	Pair Corr
0.96	JPM	JPMorgan Chase	Pair Corr
0.88	JPM-PK	JPMorgan Chase	Pair Corr
0.85	JPM-PJ	JPMorgan Chase	Pair Corr
0.89	JPM-PM	JPMorgan Chase	Pair Corr
0.84	JPM-PL	JPMorgan Chase	Pair Corr
0.9	JPM-PC	JPMorgan Chase	Pair Corr
0.95	JPM-PD	JPMorgan Chase	Pair Corr
0.83	NTB	Bank of NT	Pair Corr
0.87	SAN	Banco Santander SA	Pair Corr
0.92	UBS	UBS Group AG	Pair Corr
0.78	WFC	Wells Fargo	Pair Corr
0.91	HSBC	HSBC Holdings PLC	Pair Corr
0.94	BAC-PB	Bank of America	Pair Corr
0.91	BAC-PM	Bank of America	Pair Corr
0.89	BAC-PN	Bank of America	Pair Corr
0.95	BAC-PK	Bank of America	Pair Corr
0.98	BAC-PL	Bank of America	Pair Corr
0.91	BAC-PQ	Bank of America	Pair Corr
0.91	BAC-PO	Bank of America	Pair Corr
0.89	BAC-PP	Bank of America	Pair Corr
0.89	BAC-PS	Bank of America	Pair Corr

Moving against Citigroup Stock

0.75	BAC-PE	Bank of America	Pair Corr
0.66	BML-PJ	Bank of America	Pair Corr
0.88	CB	Chubb	Pair Corr
0.65	EG	Everest Group	Pair Corr
0.62	V	Visa Class A	Pair Corr
0.51	AC	Associated Capital	Pair Corr

Related Correlations Analysis

	BAC	WFC	JPM	TD	NU	GS	F
BAC		0.93	0.91	0.82	0.53	0.86	0.77	BAC
WFC	0.93		0.86	0.74	0.57	0.82	0.8	WFC
JPM	0.91	0.86		0.88	0.37	0.98	0.79	JPM
TD	0.82	0.74	0.88		0.22	0.88	0.69	TD
NU	0.53	0.57	0.37	0.22		0.35	0.52	NU
GS	0.86	0.82	0.98	0.88	0.35		0.83	GS
F	0.77	0.8	0.79	0.69	0.52	0.83		F
	BAC	WFC	JPM	TD	NU	GS	F

Risk-Adjusted Indicators

There is a big difference between Citigroup Stock performing well and Citigroup Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Citigroup's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
BAC	0.90	0.00	0.00	0.09	1.20	(0.93)	2.15	(1.95)	5.76
WFC	1.17	(0.08)	(0.03)	0.03	1.66	(1.18)	2.13	(2.91)	8.55
JPM	0.83	0.07	0.06	0.16	0.92	(0.87)	1.78	(1.51)	5.19
TD	0.62	0.19	0.21	0.46	0.27	(0.71)	1.21	(0.92)	4.55
NU	1.97	(0.09)	(0.03)	0.02	2.50	(2.20)	4.12	(4.47)	15.77
GS	1.05	0.18	0.18	0.23	0.84	(1.22)	2.45	(1.92)	4.81
F	1.25	0.04	0.03	0.13	1.51	(1.26)	2.13	(2.36)	7.46

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