Correlation Between Citigroup and Gmo Treasury

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

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

Diversification Opportunities for Citigroup and Gmo Treasury

0.0

Correlation Coefficient

Citigroup  Gmo Treasury

Pay attention - limited upside

The 3 months correlation between Citigroup and Gmo is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Gmo Treasury Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gmo Treasury 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 Gmo Treasury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gmo Treasury has no effect on the direction of Citigroup i.e., Citigroup and Gmo Treasury go up and down completely randomly.

Pair Corralation between Citigroup and Gmo Treasury

If you would invest  6,092  in Citigroup on September 2, 2024 and sell it today you would earn a total of  995.00  from holding Citigroup or generate 16.33% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Flat
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Gmo Treasury Fund

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.

Gmo Treasury

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Gmo Treasury Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Gmo Treasury is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and Gmo Treasury

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

The idea behind Citigroup and Gmo Treasury 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.

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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.