Correlation Between Citigroup and Nuveen All-american

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

By analyzing existing cross correlation between Citigroup and Nuveen All American Municipal, you can compare the effects of market volatilities on Citigroup and Nuveen All-american 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 Nuveen All-american. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Nuveen All-american.

Diversification Opportunities for Citigroup and Nuveen All-american

0.26

Correlation Coefficient

Citigroup  Nuveen All-american

Modest diversification

The 3 months correlation between Citigroup and Nuveen is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Nuveen All American Municipal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nuveen All American 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 Nuveen All-american. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nuveen All American has no effect on the direction of Citigroup i.e., Citigroup and Nuveen All-american go up and down completely randomly.

Pair Corralation between Citigroup and Nuveen All-american

Taking into account the 90-day investment horizon Citigroup is expected to generate 8.43 times more return on investment than Nuveen All-american. However, Citigroup is 8.43 times more volatile than Nuveen All American Municipal. It trades about 0.03 of its potential returns per unit of risk. Nuveen All American Municipal is currently generating about -0.05 per unit of risk. If you would invest  6,991  in Citigroup on December 28, 2024 and sell it today you would earn a total of  194.00  from holding Citigroup or generate 2.77% return on investment over 90 days.

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

Citigroup  vs.  Nuveen All American Municipal

Citigroup

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound fundamental indicators, Citigroup is not utilizing all of its potentials. The newest stock price tumult, may contribute to shorter-term losses for the shareholders.

Nuveen All American

Risk-Adjusted Performance

Very Weak

Over the last 90 days Nuveen All American Municipal has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Nuveen All-american is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and Nuveen All-american

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

The idea behind Citigroup and Nuveen All American Municipal 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.