Citigroup Capital Correlations

C-PN Preferred Stock

USD 30.13 0.06 0.20%

The current 90-days correlation between Citigroup Capital XIII and Merrill Lynch Capital is 0.21 (i.e., Modest diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Citigroup Capital moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Citigroup Capital XIII moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Citigroup Capital Correlation With Market

Modest diversification

The correlation between Citigroup Capital XIII and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Capital XIII and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Citigroup Capital could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Citigroup Capital when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Citigroup Capital - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Citigroup Capital XIII to buy it.

Moving together with Citigroup Preferred Stock

0.77	C	Citigroup Aggressive Push	Pair Corr
0.9	BK	Bank of New York Fiscal Year End 10th of January 2025	Pair Corr
0.86	CM	Canadian Imperial Bank Earnings Call This Week	Pair Corr
0.62	BML-PG	Bank of America	Pair Corr
0.68	BML-PH	Bank of America	Pair Corr
0.73	BML-PL	Bank of America	Pair Corr
0.8	BAC	Bank of America Aggressive Push	Pair Corr
0.83	BCS	Barclays PLC ADR	Pair Corr
0.84	BMO	Bank of Montreal Earnings Call This Week	Pair Corr
0.66	BNS	Bank of Nova Scotia Earnings Call This Week	Pair Corr
0.73	JPM	JPMorgan Chase Sell-off Trend	Pair Corr
0.61	JPM-PC	JPMorgan Chase	Pair Corr
0.7	UBS	UBS Group AG	Pair Corr
0.84	WFC	Wells Fargo Sell-off Trend	Pair Corr
0.75	HSBC	HSBC Holdings PLC	Pair Corr
0.74	BAC-PB	Bank of America	Pair Corr
0.67	BAC-PE	Bank of America	Pair Corr
0.62	BAC-PK	Bank of America	Pair Corr
0.7	MUFG	Mitsubishi UFJ Financial	Pair Corr

Moving against Citigroup Preferred Stock

0.82	ING	ING Group NV	Pair Corr
0.75	TD	Toronto Dominion Bank Earnings Call This Week	Pair Corr
0.65	JPM-PM	JPMorgan Chase	Pair Corr
0.57	JPM-PK	JPMorgan Chase	Pair Corr
0.56	JPM-PL	JPMorgan Chase	Pair Corr
0.44	JPM-PJ	JPMorgan Chase	Pair Corr
0.57	BAC-PQ	Bank of America	Pair Corr
0.57	BAC-PP	Bank of America	Pair Corr
0.55	WFC-PC	Wells Fargo	Pair Corr
0.53	WFC-PZ	Wells Fargo	Pair Corr
0.51	BAC-PN	Bank of America	Pair Corr
0.51	BAC-PO	Bank of America	Pair Corr
0.51	WFC-PA	Wells Fargo	Pair Corr
0.5	WFC-PD	Wells Fargo	Pair Corr
0.4	BBVA	Banco Bilbao Viscaya	Pair Corr
0.38	BAC-PS	Bank of America	Pair Corr
0.37	WFC-PL	Wells Fargo	Pair Corr

Related Correlations Analysis

	MER-PK	MS-PE	AQUI	MSTSX	LBHIX	ABHYX	SCAXF	VIASP	RRTLX	OSHDF
MER-PK		0.69	0.0	0.28	0.52	0.07	-0.17	0.32	0.19	0.17	MER-PK
MS-PE	0.69		0.0	0.74	0.79	0.3	-0.28	0.2	0.61	0.28	MS-PE
AQUI	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	AQUI
MSTSX	0.28	0.74	0.0		0.67	0.34	-0.02	-0.08	0.81	0.02	MSTSX
LBHIX	0.52	0.79	0.0	0.67		0.51	-0.29	0.22	0.69	0.29	LBHIX
ABHYX	0.07	0.3	0.0	0.34	0.51		-0.05	-0.17	0.41	0.05	ABHYX
SCAXF	-0.17	-0.28	0.0	-0.02	-0.29	-0.05		-0.8	-0.07	-1.0	SCAXF
VIASP	0.32	0.2	0.0	-0.08	0.22	-0.17	-0.8		0.01	0.8	VIASP
RRTLX	0.19	0.61	0.0	0.81	0.69	0.41	-0.07	0.01		0.07	RRTLX
OSHDF	0.17	0.28	0.0	0.02	0.29	0.05	-1.0	0.8	0.07		OSHDF
	MER-PK	MS-PE	AQUI	MSTSX	LBHIX	ABHYX	SCAXF	VIASP	RRTLX	OSHDF

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

RRTLX	+ 0.81	MSTSX
OSHDF	+ 0.8	VIASP
LBHIX	+ 0.79	MS-PE
MSTSX	+ 0.74	MS-PE
MS-PE	+ 0.69	MER-PK
RRTLX	+ 0.69	LBHIX

High negative correlations

OSHDF	- 1.0	SCAXF
VIASP	- 0.8	SCAXF
SCAXF	- 0.29	LBHIX
SCAXF	- 0.28	MS-PE
VIASP	- 0.17	ABHYX
SCAXF	- 0.17	MER-PK

Risk-Adjusted Indicators

There is a big difference between Citigroup Preferred Stock performing well and Citigroup Capital Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Citigroup Capital's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
MER-PK	0.35	0.04	(0.15)	1.16	0.39	(0.37)	0.73	(0.77)	2.16
MS-PE	0.12	0.02	(0.54)	0.76	0.00	(0.14)	0.28	(0.24)	0.95
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MSTSX	0.49	(0.04)	(0.13)	0.06	0.52	(0.61)	1.21	(1.02)	2.80
LBHIX	0.11	0.01	(0.42)	0.38	0.00	(0.29)	0.24	(0.24)	0.96
ABHYX	0.17	0.00	(0.24)	0.19	0.25	(0.24)	0.34	(0.33)	1.91
SCAXF	0.70	(0.41)	0.00	(0.98)	0.00	0.00	0.00	0.00	23.47
VIASP	0.74	0.07	(0.04)	(2.04)	1.13	(0.80)	2.28	(1.20)	7.18
RRTLX	0.23	0.00	(0.34)	0.13	0.26	(0.26)	0.48	(0.56)	1.36
OSHDF	39.65	22.66	0.00	(0.96)	0.00	0.00	0.00	0.00	1,329

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Our tools can tell you how much better you can do entering a position in Citigroup Capital without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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