Correlation Between Citigroup and Grupo Cementos

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

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

Diversification Opportunities for Citigroup and Grupo Cementos

0.91

Correlation Coefficient

Citigroup  Grupo Cementos

Almost no diversification

The 3 months correlation between Citigroup and Grupo is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Grupo Cementos de in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Grupo Cementos de 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 Grupo Cementos. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Grupo Cementos de has no effect on the direction of Citigroup i.e., Citigroup and Grupo Cementos go up and down completely randomly.

Pair Corralation between Citigroup and Grupo Cementos

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.54 times less return on investment than Grupo Cementos. But when comparing it to its historical volatility, Citigroup is 1.23 times less risky than Grupo Cementos. It trades about 0.14 of its potential returns per unit of risk. Grupo Cementos de is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest  14,758  in Grupo Cementos de on September 27, 2024 and sell it today you would earn a total of  3,683  from holding Grupo Cementos de or generate 24.96% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	95.31%
Values	Daily Returns

Citigroup  vs.  Grupo Cementos de

Citigroup

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) 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.

Grupo Cementos de

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Grupo Cementos de are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak fundamental indicators, Grupo Cementos showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Grupo Cementos

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

The idea behind Citigroup and Grupo Cementos de 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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.