Correlation Between Citigroup and AU Optronics

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

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

Diversification Opportunities for Citigroup and AU Optronics

-0.46

Correlation Coefficient

Citigroup  AU Optronics

Very good diversification

The 3 months correlation between Citigroup and AUOTY is -0.46. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and AU Optronics Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AU Optronics Corp 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 AU Optronics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AU Optronics Corp has no effect on the direction of Citigroup i.e., Citigroup and AU Optronics go up and down completely randomly.

Pair Corralation between Citigroup and AU Optronics

If you would invest  6,205  in Citigroup on September 30, 2024 and sell it today you would earn a total of  895.00  from holding Citigroup or generate 14.42% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	1.56%
Values	Daily Returns

Citigroup  vs.  AU Optronics Corp

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.

AU Optronics Corp

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days AU Optronics Corp has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly strong basic indicators, AU Optronics is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and AU Optronics

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

The idea behind Citigroup and AU Optronics Corp 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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.