Correlation Between Citigroup and SPDR Bloomberg

Can any of the company-specific risk be diversified away by investing in both Citigroup and SPDR Bloomberg 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 SPDR Bloomberg into the same portfolio, which is an essential part of the fundamental portfolio management process.

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

Diversification Opportunities for Citigroup and SPDR Bloomberg

0.65

Correlation Coefficient

Citigroup  SPDR Bloomberg

Poor diversification

The 3 months correlation between Citigroup and SPDR is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and SPDR Bloomberg Short in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Bloomberg Short 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 SPDR Bloomberg. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Bloomberg Short has no effect on the direction of Citigroup i.e., Citigroup and SPDR Bloomberg go up and down completely randomly.

Pair Corralation between Citigroup and SPDR Bloomberg

Taking into account the 90-day investment horizon Citigroup is expected to generate 12.58 times more return on investment than SPDR Bloomberg. However, Citigroup is 12.58 times more volatile than SPDR Bloomberg Short. It trades about 0.23 of its potential returns per unit of risk. SPDR Bloomberg Short is currently generating about 0.17 per unit of risk. If you would invest  6,129  in Citigroup on August 22, 2024 and sell it today you would earn a total of  731.00  from holding Citigroup or generate 11.93% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  SPDR Bloomberg Short

Citigroup

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of rather conflicting fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

SPDR Bloomberg Short

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in SPDR Bloomberg Short are ranked lower than 17 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent basic indicators, SPDR Bloomberg is not utilizing all of its potentials. The current stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Citigroup and SPDR Bloomberg

The main advantage of trading using opposite Citigroup and SPDR Bloomberg positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, SPDR Bloomberg 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 SPDR Bloomberg will offset losses from the drop in SPDR Bloomberg's long position.

The idea behind Citigroup and SPDR Bloomberg Short 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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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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.