Citigroup Correlations

C Stock

USD 69.86 0.08 0.11%

The current 90-days correlation between Citigroup and Wells Fargo is 0.84 (i.e., Very 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 0.6 (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.

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 main economic indicators.

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

Moving together with Citigroup Stock

0.78	BK	Bank of New York	Pair Corr
0.65	TD	Toronto Dominion Bank	Pair Corr
0.66	BML-PG	Bank of America	Pair Corr
0.67	BML-PH	Bank of America	Pair Corr
0.69	BAC	Bank of America Aggressive Push	Pair Corr
0.68	BMO	Bank of Montreal	Pair Corr
0.97	JPM	JPMorgan Chase	Pair Corr
0.78	UBS	UBS Group AG	Pair Corr
0.97	WFC	Wells Fargo Sell-off Trend	Pair Corr
0.68	BAC-PB	Bank of America	Pair Corr
0.61	BAC-PM	Bank of America	Pair Corr
0.62	BAC-PK	Bank of America	Pair Corr
0.77	C-PN	Citigroup Capital XIII	Pair Corr

Related Correlations Analysis

	JPM	WFC	TD	NU	BAC	HSBC	RY	CM	BMO	BNS
JPM		0.98	0.66	0.79	0.68	0.3	0.26	0.12	0.66	-0.12	JPM
WFC	0.98		0.66	0.78	0.67	0.32	0.25	0.11	0.7	-0.13	WFC
TD	0.66	0.66		0.43	-0.03	0.87	-0.43	-0.6	0.62	-0.75	TD
NU	0.79	0.78	0.43		0.64	0.05	0.35	0.23	0.44	0.06	NU
BAC	0.68	0.67	-0.03	0.64		-0.42	0.76	0.72	0.35	0.53	BAC
HSBC	0.3	0.32	0.87	0.05	-0.42		-0.65	-0.8	0.5	-0.84	HSBC
RY	0.26	0.25	-0.43	0.35	0.76	-0.65		0.94	0.22	0.87	RY
CM	0.12	0.11	-0.6	0.23	0.72	-0.8	0.94		0.01	0.95	CM
BMO	0.66	0.7	0.62	0.44	0.35	0.5	0.22	0.01		-0.12	BMO
BNS	-0.12	-0.13	-0.75	0.06	0.53	-0.84	0.87	0.95	-0.12		BNS
	JPM	WFC	TD	NU	BAC	HSBC	RY	CM	BMO	BNS

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

WFC	+ 0.98	JPM
BNS	+ 0.95	CM
CM	+ 0.94	RY
HSBC	+ 0.87	TD
BNS	+ 0.87	RY
NU	+ 0.79	JPM

High negative correlations

BNS	- 0.84	HSBC
CM	- 0.8	HSBC
BNS	- 0.75	TD
RY	- 0.65	HSBC
CM	- 0.6	TD
RY	- 0.43	TD

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
JPM	1.10	0.04	0.00	(0.08)	0.00	0.00	1.99	(3.35)	6.85
WFC	1.27	0.08	0.00	(0.05)	0.00	0.00	2.22	(2.30)	12.70
TD	0.74	0.27	0.37	0.39	0.55	(0.85)	1.38	(1.34)	5.80
NU	2.31	0.21	0.03	0.01	4.06	(2.66)	4.58	(4.44)	25.98
BAC	1.11	(0.08)	0.00	(0.18)	0.00	0.00	1.81	(2.37)	10.83
HSBC	0.90	0.40	0.29	0.45	1.00	(0.96)	2.59	(1.74)	7.68
RY	0.88	(0.07)	0.00	(0.19)	0.00	0.00	1.55	(2.67)	6.21
CM	0.90	(0.17)	0.00	(0.36)	0.00	0.00	1.34	(2.36)	6.74
BMO	0.76	(0.02)	0.00	(0.14)	0.00	0.00	1.74	(2.06)	6.84
BNS	0.70	(0.17)	0.00	(0.54)	0.00	0.00	1.34	(1.76)	5.17

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