Correlation Between JP Morgan and Citigroup

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

Diversification Opportunities for JP Morgan and Citigroup

0.83
  Correlation Coefficient

Very poor diversification

The 3 months correlation between JP Morgan and Citigroup is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding JP Morgan Chase and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and JP Morgan 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 JP Morgan Chase 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 JP Morgan i.e., JP Morgan and Citigroup go up and down completely randomly.

Pair Corralation between JP Morgan and Citigroup

Considering the 90-day investment horizon JP Morgan Chase is expected to under-perform the Citigroup. But the stock apears to be less risky and, when comparing its historical volatility, JP Morgan Chase is 1.13 times less risky than Citigroup. The stock trades about -0.08 of its potential returns per unit of risk. The Citigroup is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest  5,852  in Citigroup on July 9, 2022 and sell it today you would lose (1,546)  from holding Citigroup or give up 26.42% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

JP Morgan Chase  vs.  Citigroup

 Performance (%) 
       Timeline  
JP Morgan Chase 
JP Morgan Performance
0 of 100
Over the last 90 days JP Morgan Chase has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively steady basic indicators, JP Morgan is not utilizing all of its potentials. The latest stock price chaos, may contribute to medium-term losses for the stakeholders.

JP Morgan Price Channel

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 somewhat strong fundamental indicators, Citigroup is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Citigroup Price Channel

JP Morgan and Citigroup Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with JP Morgan and Citigroup

The main advantage of trading using opposite JP Morgan and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if JP Morgan 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.
JP Morgan vs. Amazon Inc
The idea behind JP Morgan Chase and Citigroup 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.
Citigroup vs. Amazon Inc
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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.

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