Correlation Between Citigroup and ASR Nederland

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

Diversification Opportunities for Citigroup and ASR Nederland

CitigroupASRDiversified AwayCitigroupASRDiversified Away100%
0.62
  Correlation Coefficient

Poor diversification

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

Pair Corralation between Citigroup and ASR Nederland

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.57 times more return on investment than ASR Nederland. However, Citigroup is 1.57 times more volatile than ASR Nederland NV. It trades about 0.13 of its potential returns per unit of risk. ASR Nederland NV is currently generating about 0.02 per unit of risk. If you would invest  6,133  in Citigroup on September 27, 2024 and sell it today you would earn a total of  967.00  from holding Citigroup or generate 15.77% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Citigroup  vs.  ASR Nederland NV

 Performance 
JavaScript chart by amCharts 3.21.15OctNovDec 051015
JavaScript chart by amCharts 3.21.15C ASRNL
       Timeline  
Citigroup 

Risk-Adjusted Performance

10 of 100

 
Weak
 
Strong
OK
Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) 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.
JavaScript chart by amCharts 3.21.15NovDecDec62646668707274
ASR Nederland NV 

Risk-Adjusted Performance

1 of 100

 
Weak
 
Strong
Weak
Compared to the overall equity markets, risk-adjusted returns on investments in ASR Nederland NV are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, ASR Nederland is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15NovDecDec4343.54444.54545.54646.547

Citigroup and ASR Nederland Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-5.73-4.29-2.85-1.410.01.452.984.56.037.55 0.050.100.150.200.250.30
JavaScript chart by amCharts 3.21.15C ASRNL
       Returns  

Pair Trading with Citigroup and ASR Nederland

The main advantage of trading using opposite Citigroup and ASR Nederland positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, ASR Nederland 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 ASR Nederland will offset losses from the drop in ASR Nederland's long position.
The idea behind Citigroup and ASR Nederland NV 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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.

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