Correlation Between Citigroup and Doubleline Shiller

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

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

Diversification Opportunities for Citigroup and Doubleline Shiller

-0.82

Correlation Coefficient

Citigroup  Doubleline Shiller

Pay attention - limited upside

The 3 months correlation between Citigroup and Doubleline is -0.82. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Doubleline Shiller Enhanced in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Doubleline Shiller 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 Doubleline Shiller. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Doubleline Shiller has no effect on the direction of Citigroup i.e., Citigroup and Doubleline Shiller go up and down completely randomly.

Pair Corralation between Citigroup and Doubleline Shiller

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.2 times more return on investment than Doubleline Shiller. However, Citigroup is 2.2 times more volatile than Doubleline Shiller Enhanced. It trades about 0.13 of its potential returns per unit of risk. Doubleline Shiller Enhanced is currently generating about -0.14 per unit of risk. If you would invest  6,092  in Citigroup on September 2, 2024 and sell it today you would earn a total of  995.00  from holding Citigroup or generate 16.33% return on investment over 90 days.

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

Citigroup  vs.  Doubleline Shiller Enhanced

Citigroup

Risk-Adjusted Performance

10 of 100

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.

Doubleline Shiller

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Doubleline Shiller Enhanced 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 Doubleline Shiller

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

The idea behind Citigroup and Doubleline Shiller Enhanced 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 Commodity Directory module to find actively traded commodities issued by global exchanges.