Correlation Between Citigroup and Empiric 2500

Can any of the company-specific risk be diversified away by investing in both Citigroup and Empiric 2500 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 Empiric 2500 into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Citigroup and Empiric 2500 Fund, you can compare the effects of market volatilities on Citigroup and Empiric 2500 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 Empiric 2500. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Empiric 2500.

Diversification Opportunities for Citigroup and Empiric 2500

0.93

Correlation Coefficient

Citigroup  Empiric 2500

Almost no diversification

The 3 months correlation between Citigroup and Empiric is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Empiric 2500 Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Empiric 2500 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 Empiric 2500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Empiric 2500 has no effect on the direction of Citigroup i.e., Citigroup and Empiric 2500 go up and down completely randomly.

Pair Corralation between Citigroup and Empiric 2500

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.91 times more return on investment than Empiric 2500. However, Citigroup is 1.1 times less risky than Empiric 2500. It trades about 0.25 of its potential returns per unit of risk. Empiric 2500 Fund is currently generating about 0.1 per unit of risk. If you would invest  6,815  in Citigroup on September 15, 2024 and sell it today you would earn a total of  286.00  from holding Citigroup or generate 4.2% return on investment over 90 days.

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

Citigroup  vs.  Empiric 2500 Fund

Citigroup

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 13 (%) 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.

Empiric 2500

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Empiric 2500 Fund are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Empiric 2500 may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Citigroup and Empiric 2500

The main advantage of trading using opposite Citigroup and Empiric 2500 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Empiric 2500 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 Empiric 2500 will offset losses from the drop in Empiric 2500's long position.

The idea behind Citigroup and Empiric 2500 Fund 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 Transaction History module to view history of all your transactions and understand their impact on performance.