Correlation Between Citigroup and Amtran Technology

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

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

Diversification Opportunities for Citigroup and Amtran Technology

-0.57

Correlation Coefficient

Citigroup  Amtran Technology

Excellent diversification

The 3 months correlation between Citigroup and Amtran is -0.57. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Amtran Technology Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amtran Technology 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 Amtran Technology. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amtran Technology has no effect on the direction of Citigroup i.e., Citigroup and Amtran Technology go up and down completely randomly.

Pair Corralation between Citigroup and Amtran Technology

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.17 times more return on investment than Amtran Technology. However, Citigroup is 1.17 times more volatile than Amtran Technology Co. It trades about 0.33 of its potential returns per unit of risk. Amtran Technology Co is currently generating about -0.25 per unit of risk. If you would invest  6,235  in Citigroup on September 4, 2024 and sell it today you would earn a total of  904.00  from holding Citigroup or generate 14.5% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	95.45%
Values	Daily Returns

Citigroup  vs.  Amtran Technology Co

Citigroup

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 11 (%) 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.

Amtran Technology

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Amtran Technology Co has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest abnormal performance, the Stock's basic indicators remain stable and the latest fuss on Wall Street may also be a sign of long-term gains for the venture sophisticated investors.

Pair Trading with Citigroup and Amtran Technology

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

The idea behind Citigroup and Amtran Technology Co 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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.