Correlation Between Citigroup and International Bancshares
Can any of the company-specific risk be diversified away by investing in both Citigroup and International Bancshares 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 International Bancshares into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and International Bancshares, you can compare the effects of market volatilities on Citigroup and International Bancshares 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 International Bancshares. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and International Bancshares.
Diversification Opportunities for Citigroup and International Bancshares
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and International is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and International Bancshares in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on International Bancshares 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 International Bancshares. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of International Bancshares has no effect on the direction of Citigroup i.e., Citigroup and International Bancshares go up and down completely randomly.
Pair Corralation between Citigroup and International Bancshares
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.33 times more return on investment than International Bancshares. However, Citigroup is 1.33 times more volatile than International Bancshares. It trades about 0.01 of its potential returns per unit of risk. International Bancshares is currently generating about 0.01 per unit of risk. If you would invest 6,991 in Citigroup on December 30, 2024 and sell it today you would earn a total of 42.00 from holding Citigroup or generate 0.6% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Citigroup vs. International Bancshares
Performance |
Timeline |
Citigroup |
International Bancshares |
Citigroup and International Bancshares Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Citigroup and International Bancshares
The main advantage of trading using opposite Citigroup and International Bancshares positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, International Bancshares 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 International Bancshares will offset losses from the drop in International Bancshares' long position.Citigroup vs. PJT Partners | Citigroup vs. National Bank Holdings | Citigroup vs. FB Financial Corp | Citigroup vs. Northrim BanCorp |
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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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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