Correlation Between Citigroup and ERShares Entrepreneurs

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

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

Diversification Opportunities for Citigroup and ERShares Entrepreneurs

0.79

Correlation Coefficient

Citigroup  ERShares Entrepreneurs

Poor diversification

The 3 months correlation between Citigroup and ERShares is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and ERShares Entrepreneurs ETF in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ERShares Entrepreneurs 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 ERShares Entrepreneurs. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ERShares Entrepreneurs has no effect on the direction of Citigroup i.e., Citigroup and ERShares Entrepreneurs go up and down completely randomly.

Pair Corralation between Citigroup and ERShares Entrepreneurs

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.09 times more return on investment than ERShares Entrepreneurs. However, Citigroup is 1.09 times more volatile than ERShares Entrepreneurs ETF. It trades about 0.16 of its potential returns per unit of risk. ERShares Entrepreneurs ETF is currently generating about 0.13 per unit of risk. If you would invest  6,209  in Citigroup on October 15, 2024 and sell it today you would earn a total of  1,068  from holding Citigroup or generate 17.2% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	86.89%
Values	Daily Returns

Citigroup  vs.  ERShares Entrepreneurs ETF

Citigroup

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of rather uncertain fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

ERShares Entrepreneurs

Risk-Adjusted Performance

0 of 100

OK

Over the last 90 days ERShares Entrepreneurs ETF has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively unfluctuating basic indicators, ERShares Entrepreneurs reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and ERShares Entrepreneurs

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

The idea behind Citigroup and ERShares Entrepreneurs ETF 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.