Correlation Between Citigroup and Small-cap Value

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

By analyzing existing cross correlation between Citigroup and Small Cap Value Profund, you can compare the effects of market volatilities on Citigroup and Small-cap Value 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 Small-cap Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Small-cap Value.

Diversification Opportunities for Citigroup and Small-cap Value

0.75

Correlation Coefficient

Citigroup  Small-cap Value

Poor diversification

The 3 months correlation between Citigroup and Small-cap is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Small Cap Value Profund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Small Cap Value 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 Small-cap Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Small Cap Value has no effect on the direction of Citigroup i.e., Citigroup and Small-cap Value go up and down completely randomly.

Pair Corralation between Citigroup and Small-cap Value

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.2 times more return on investment than Small-cap Value. However, Citigroup is 1.2 times more volatile than Small Cap Value Profund. It trades about 0.13 of its potential returns per unit of risk. Small Cap Value Profund is currently generating about 0.13 per unit of risk. If you would invest  8,703  in Citigroup on July 7, 2025 and sell it today you would earn a total of  1,071  from holding Citigroup or generate 12.31% return on investment over 90 days.

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

Citigroup  vs.  Small Cap Value Profund

Citigroup

Risk-Adjusted Performance

Fair

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of rather unsteady fundamental indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in November 2025.

Small Cap Value

Risk-Adjusted Performance

Fair

Compared to the overall equity markets, risk-adjusted returns on investments in Small Cap Value Profund are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Small-cap Value may actually be approaching a critical reversion point that can send shares even higher in November 2025.

Pair Trading with Citigroup and Small-cap Value

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

The idea behind Citigroup and Small Cap Value Profund 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..