Correlation Between Citigroup and Blackrock Muniyield

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

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

Diversification Opportunities for Citigroup and Blackrock Muniyield

-0.14

Correlation Coefficient

Citigroup  Blackrock Muniyield

Good diversification

The 3 months correlation between Citigroup and Blackrock is -0.14. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Blackrock Muniyield Pennsylvan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Blackrock Muniyield 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 Blackrock Muniyield. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Blackrock Muniyield has no effect on the direction of Citigroup i.e., Citigroup and Blackrock Muniyield go up and down completely randomly.

Pair Corralation between Citigroup and Blackrock Muniyield

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.24 times more return on investment than Blackrock Muniyield. However, Citigroup is 2.24 times more volatile than Blackrock Muniyield Pennsylvania. It trades about 0.09 of its potential returns per unit of risk. Blackrock Muniyield Pennsylvania is currently generating about 0.05 per unit of risk. If you would invest  4,319  in Citigroup on September 14, 2024 and sell it today you would earn a total of  2,877  from holding Citigroup or generate 66.61% return on investment over 90 days.

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

Citigroup  vs.  Blackrock Muniyield Pennsylvan

Citigroup

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 14 (%) 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.

Blackrock Muniyield

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Blackrock Muniyield Pennsylvania has generated negative risk-adjusted returns adding no value to fund investors. Despite somewhat strong basic indicators, Blackrock Muniyield 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 Blackrock Muniyield

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

The idea behind Citigroup and Blackrock Muniyield Pennsylvania 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.