Correlation Between Loews Corp and Citigroup
Can any of the company-specific risk be diversified away by investing in both Loews Corp and Citigroup 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 Loews Corp and Citigroup into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Loews Corp and Citigroup, you can compare the effects of market volatilities on Loews Corp and Citigroup 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 Loews Corp with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of Loews Corp and Citigroup.
Diversification Opportunities for Loews Corp and Citigroup
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Loews and Citigroup is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Loews Corp and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Loews Corp 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 Loews Corp are associated (or correlated) with Citigroup. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citigroup has no effect on the direction of Loews Corp i.e., Loews Corp and Citigroup go up and down completely randomly.
Pair Corralation between Loews Corp and Citigroup
Taking into account the 90-day investment horizon Loews Corp is expected to generate 1.55 times less return on investment than Citigroup. But when comparing it to its historical volatility, Loews Corp is 1.48 times less risky than Citigroup. It trades about 0.04 of its potential returns per unit of risk. Citigroup is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 4,756 in Citigroup on January 25, 2024 and sell it today you would earn a total of 1,511 from holding Citigroup or generate 31.77% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Loews Corp vs. Citigroup
Performance |
| Timeline |
| Loews Corp |
| Citigroup |
Loews Corp and Citigroup Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Loews Corp and Citigroup
The main advantage of trading using opposite Loews Corp and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Loews Corp position performs unexpectedly, Citigroup 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 Citigroup will offset losses from the drop in Citigroup's long position.| Loews Corp vs. Global Indemnity PLC | Loews Corp vs. Selective Insurance Group | Loews Corp vs. Kemper | Loews Corp vs. Stewart Information Services |
| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.
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