Correlation Between Citigroup and Atmus Filtration

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

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

Diversification Opportunities for Citigroup and Atmus Filtration

0.81

Correlation Coefficient

Citigroup  Atmus Filtration

Very poor diversification

The 3 months correlation between Citigroup and Atmus is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Atmus Filtration Technologies in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Atmus Filtration Tec 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 Atmus Filtration. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Atmus Filtration Tec has no effect on the direction of Citigroup i.e., Citigroup and Atmus Filtration go up and down completely randomly.

Pair Corralation between Citigroup and Atmus Filtration

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.06 times more return on investment than Atmus Filtration. However, Citigroup is 1.06 times more volatile than Atmus Filtration Technologies. It trades about 0.12 of its potential returns per unit of risk. Atmus Filtration Technologies is currently generating about 0.05 per unit of risk. If you would invest  6,083  in Citigroup on September 24, 2024 and sell it today you would earn a total of  836.00  from holding Citigroup or generate 13.74% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Atmus Filtration Technologies

Citigroup

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 9 (%) 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.

Atmus Filtration Tec

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Atmus Filtration Technologies are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable primary indicators, Atmus Filtration is not utilizing all of its potentials. The latest stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Citigroup and Atmus Filtration

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

The idea behind Citigroup and Atmus Filtration Technologies 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 the Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.