Correlation Between Citigroup and Fortinet

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

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

Diversification Opportunities for Citigroup and Fortinet

0.93

Correlation Coefficient

Citigroup  Fortinet

Almost no diversification

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

Pair Corralation between Citigroup and Fortinet

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.47 times less return on investment than Fortinet. But when comparing it to its historical volatility, Citigroup is 1.41 times less risky than Fortinet. It trades about 0.14 of its potential returns per unit of risk. Fortinet is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest  22,908  in Fortinet on September 23, 2024 and sell it today you would earn a total of  6,392  from holding Fortinet or generate 27.9% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	97.67%
Values	Daily Returns

Citigroup  vs.  Fortinet

Citigroup

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of rather unsteady fundamental indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Fortinet

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Fortinet are ranked lower than 17 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Fortinet sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Fortinet

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

The idea behind Citigroup and Fortinet 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.