Correlation Between Citigroup and Jpmorgan Intrepid

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

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

Diversification Opportunities for Citigroup and Jpmorgan Intrepid

-0.19

Correlation Coefficient

Citigroup  Jpmorgan Intrepid

Good diversification

The 3 months correlation between Citigroup and Jpmorgan is -0.19. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Jpmorgan Intrepid Mid in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jpmorgan Intrepid Mid 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 Jpmorgan Intrepid. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jpmorgan Intrepid Mid has no effect on the direction of Citigroup i.e., Citigroup and Jpmorgan Intrepid go up and down completely randomly.

Pair Corralation between Citigroup and Jpmorgan Intrepid

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.06 times more return on investment than Jpmorgan Intrepid. However, Citigroup is 2.06 times more volatile than Jpmorgan Intrepid Mid. It trades about 0.03 of its potential returns per unit of risk. Jpmorgan Intrepid Mid is currently generating about -0.19 per unit of risk. If you would invest  7,101  in Citigroup on December 4, 2024 and sell it today you would earn a total of  134.00  from holding Citigroup or generate 1.89% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	98.33%
Values	Daily Returns

Citigroup  vs.  Jpmorgan Intrepid Mid

Citigroup

Risk-Adjusted Performance

OK

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 recent stock price tumult, may contribute to shorter-term losses for the shareholders.

Jpmorgan Intrepid Mid

Risk-Adjusted Performance

Very Weak

Over the last 90 days Jpmorgan Intrepid Mid has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Citigroup and Jpmorgan Intrepid

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

The idea behind Citigroup and Jpmorgan Intrepid Mid 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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.