Correlation Between Citigroup and Guggenheim Market

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Can any of the company-specific risk be diversified away by investing in both Citigroup and Guggenheim Market 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 Guggenheim Market into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Guggenheim Market Neutral, you can compare the effects of market volatilities on Citigroup and Guggenheim Market 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 Guggenheim Market. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Guggenheim Market.

Diversification Opportunities for Citigroup and Guggenheim Market

0.85
  Correlation Coefficient

Very poor diversification

The 3 months correlation between Citigroup and Guggenheim is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Guggenheim Market Neutral in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Guggenheim Market Neutral 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 Guggenheim Market. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Guggenheim Market Neutral has no effect on the direction of Citigroup i.e., Citigroup and Guggenheim Market go up and down completely randomly.

Pair Corralation between Citigroup and Guggenheim Market

Taking into account the 90-day investment horizon Citigroup is expected to generate 8.79 times more return on investment than Guggenheim Market. However, Citigroup is 8.79 times more volatile than Guggenheim Market Neutral. It trades about 0.09 of its potential returns per unit of risk. Guggenheim Market Neutral is currently generating about 0.01 per unit of risk. If you would invest  4,333  in Citigroup on September 6, 2024 and sell it today you would earn a total of  2,817  from holding Citigroup or generate 65.01% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Citigroup  vs.  Guggenheim Market Neutral

 Performance 
       Timeline  
Citigroup 

Risk-Adjusted Performance

13 of 100

 
Weak
 
Strong
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 inconsistent fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.
Guggenheim Market Neutral 

Risk-Adjusted Performance

8 of 100

 
Weak
 
Strong
OK
Compared to the overall equity markets, risk-adjusted returns on investments in Guggenheim Market Neutral are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Guggenheim Market is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Citigroup and Guggenheim Market Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Citigroup and Guggenheim Market

The main advantage of trading using opposite Citigroup and Guggenheim Market positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Guggenheim Market 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 Guggenheim Market will offset losses from the drop in Guggenheim Market's long position.
The idea behind Citigroup and Guggenheim Market Neutral 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.
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.

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