Correlation Between Citigroup and Barclays Plc

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Can any of the company-specific risk be diversified away by investing in both Citigroup and Barclays Plc 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 Barclays Plc into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Barclays Plc ADR, you can compare the effects of market volatilities on Citigroup and Barclays Plc 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 Barclays Plc. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Barclays Plc.

Diversification Opportunities for Citigroup and Barclays Plc

0.62
  Correlation Coefficient

Poor diversification

The 3 months correlation between Citigroup and Barclays is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Barclays Plc ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Barclays Plc ADR 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 Barclays Plc. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Barclays Plc ADR has no effect on the direction of Citigroup i.e., Citigroup and Barclays Plc go up and down completely randomly.

Pair Corralation between Citigroup and Barclays Plc

Taking into account the 90-day investment horizon Citigroup is expected to under-perform the Barclays Plc. But the stock apears to be less risky and, when comparing its historical volatility, Citigroup is 1.32 times less risky than Barclays Plc. The stock trades about -0.07 of its potential returns per unit of risk. The Barclays Plc ADR is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest  930.00  in Barclays Plc ADR on April 1, 2022 and sell it today you would lose (169.00)  from holding Barclays Plc ADR or give up 18.17% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Citigroup  vs.  Barclays Plc ADR

 Performance (%) 
      Timeline 
Citigroup 
Citigroup Performance
0 of 100
Over the last 90 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Stock's fundamental indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

Structure and Payout Changes

Forward Annual Dividend Yield
0.0439
Payout Ratio
0.24
Last Split Factor
1:10
Forward Annual Dividend Rate
2.04
Dividend Date
2022-05-27
Ex Dividend Date
2022-04-29
Last Split Date
2011-05-09

Citigroup Price Channel

Barclays Plc ADR 
Barclays Performance
0 of 100
Over the last 90 days Barclays Plc ADR has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively invariable fundamental indicators, Barclays Plc is not utilizing all of its potentials. The current stock price agitation, may contribute to short-term losses for the retail investors.

Structure and Payout Changes

Forward Annual Dividend Yield
0.0418
Payout Ratio
0.0279
Last Split Factor
1085:1000
Forward Annual Dividend Rate
0.33
Dividend Date
2022-04-05
Ex Dividend Date
2022-03-03
Last Split Date
2013-09-19

Barclays Price Channel

Citigroup and Barclays Plc Volatility Contrast

 Predicted Return Density 
      Returns 

Pair Trading with Citigroup and Barclays Plc

The main advantage of trading using opposite Citigroup and Barclays Plc positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Barclays Plc 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 Barclays Plc will offset losses from the drop in Barclays Plc's long position.
The idea behind Citigroup and Barclays Plc ADR 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 Transaction History module to view history of all your transactions and understand their impact on performance.

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