Correlation Between Citigroup and Jpmorgan Smartretirement

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

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

Diversification Opportunities for Citigroup and Jpmorgan Smartretirement

0.27

Correlation Coefficient

Citigroup  Jpmorgan Smartretirement

Modest diversification

The 3 months correlation between Citigroup and Jpmorgan is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Jpmorgan Smartretirement Blend in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jpmorgan Smartretirement 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 Smartretirement. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jpmorgan Smartretirement has no effect on the direction of Citigroup i.e., Citigroup and Jpmorgan Smartretirement go up and down completely randomly.

Pair Corralation between Citigroup and Jpmorgan Smartretirement

Taking into account the 90-day investment horizon Citigroup is expected to generate 5.18 times more return on investment than Jpmorgan Smartretirement. However, Citigroup is 5.18 times more volatile than Jpmorgan Smartretirement Blend. It trades about 0.13 of its potential returns per unit of risk. Jpmorgan Smartretirement Blend is currently generating about -0.05 per unit of risk. If you would invest  6,205  in Citigroup on September 28, 2024 and sell it today you would earn a total of  895.00  from holding Citigroup or generate 14.42% return on investment over 90 days.

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

Citigroup  vs.  Jpmorgan Smartretirement Blend

Citigroup

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 9 (%) 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.

Jpmorgan Smartretirement

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Jpmorgan Smartretirement Blend has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong fundamental drivers, Jpmorgan Smartretirement 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 Jpmorgan Smartretirement

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

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