Correlation Between Citigroup and Nuveen California

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

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

Diversification Opportunities for Citigroup and Nuveen California

0.13

Correlation Coefficient

Citigroup  Nuveen California

Average diversification

The 3 months correlation between Citigroup and Nuveen is 0.13. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Nuveen California Municipal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nuveen California 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 California. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nuveen California has no effect on the direction of Citigroup i.e., Citigroup and Nuveen California go up and down completely randomly.

Pair Corralation between Citigroup and Nuveen California

Taking into account the 90-day investment horizon Citigroup is expected to generate 3.27 times more return on investment than Nuveen California. However, Citigroup is 3.27 times more volatile than Nuveen California Municipal. It trades about 0.13 of its potential returns per unit of risk. Nuveen California Municipal is currently generating about -0.02 per unit of risk. If you would invest  7,038  in Citigroup on November 29, 2024 and sell it today you would earn a total of  869.00  from holding Citigroup or generate 12.35% return on investment over 90 days.

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

Citigroup  vs.  Nuveen California Municipal

Citigroup

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Nuveen California

Risk-Adjusted Performance

Very Weak

Over the last 90 days Nuveen California Municipal has generated negative risk-adjusted returns adding no value to fund investors. Despite somewhat strong fundamental indicators, Nuveen California is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and Nuveen California

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

The idea behind Citigroup and Nuveen California 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.

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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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..