Correlation Between Citigroup and Simplify Volatility

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

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

Diversification Opportunities for Citigroup and Simplify Volatility

0.54

Correlation Coefficient

Citigroup  Simplify Volatility

Very weak diversification

The 3 months correlation between Citigroup and Simplify is 0.54. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Simplify Volatility Premium in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Simplify Volatility 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 Simplify Volatility. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Simplify Volatility has no effect on the direction of Citigroup i.e., Citigroup and Simplify Volatility go up and down completely randomly.

Pair Corralation between Citigroup and Simplify Volatility

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.52 times more return on investment than Simplify Volatility. However, Citigroup is 1.91 times less risky than Simplify Volatility. It trades about 0.39 of its potential returns per unit of risk. Simplify Volatility Premium is currently generating about 0.08 per unit of risk. If you would invest  6,774  in Citigroup on April 26, 2025 and sell it today you would earn a total of  2,833  from holding Citigroup or generate 41.82% return on investment over 90 days.

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

Citigroup  vs.  Simplify Volatility Premium

Citigroup

Risk-Adjusted Performance

Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 30 (%) of all global equities and portfolios over the last 90 days. In spite of rather unsteady fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Simplify Volatility

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Simplify Volatility Premium are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite quite weak basic indicators, Simplify Volatility disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Simplify Volatility

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

The idea behind Citigroup and Simplify Volatility Premium 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.

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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.