Correlation Between Citigroup and ASX
Can any of the company-specific risk be diversified away by investing in both Citigroup and ASX 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 ASX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and ASX Limited, you can compare the effects of market volatilities on Citigroup and ASX 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 ASX. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and ASX.
Diversification Opportunities for Citigroup and ASX
Very weak diversification
The 3 months correlation between Citigroup and ASX is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and ASX Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ASX Limited 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 ASX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ASX Limited has no effect on the direction of Citigroup i.e., Citigroup and ASX go up and down completely randomly.
Pair Corralation between Citigroup and ASX
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.37 times more return on investment than ASX. However, Citigroup is 1.37 times more volatile than ASX Limited. It trades about 0.14 of its potential returns per unit of risk. ASX Limited is currently generating about 0.0 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 1,002 from holding Citigroup or generate 16.34% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 98.44% |
Values | Daily Returns |
Citigroup vs. ASX Limited
Performance |
Timeline |
Citigroup |
ASX Limited |
Citigroup and ASX Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Citigroup and ASX
The main advantage of trading using opposite Citigroup and ASX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, ASX 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 ASX will offset losses from the drop in ASX's long position.The idea behind Citigroup and ASX Limited 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.ASX vs. STMICROELECTRONICS | ASX vs. Tencent Music Entertainment | ASX vs. TT Electronics PLC | ASX vs. SCANSOURCE |
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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
Other Complementary Tools
Stocks Directory Find actively traded stocks across global markets | |
Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals | |
Commodity Channel Use Commodity Channel Index to analyze current equity momentum | |
Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine | |
Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes |