Correlation Between Citigroup and Indivior PLC

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

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

Diversification Opportunities for Citigroup and Indivior PLC

0.79

Correlation Coefficient

Citigroup  Indivior PLC

Poor diversification

The 3 months correlation between Citigroup and Indivior is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Indivior PLC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Indivior PLC 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 Indivior PLC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Indivior PLC has no effect on the direction of Citigroup i.e., Citigroup and Indivior PLC go up and down completely randomly.

Pair Corralation between Citigroup and Indivior PLC

Taking into account the 90-day investment horizon Citigroup is expected to under-perform the Indivior PLC. But the stock apears to be less risky and, when comparing its historical volatility, Citigroup is 1.82 times less risky than Indivior PLC. The stock trades about -0.01 of its potential returns per unit of risk. The Indivior PLC is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest  81,500  in Indivior PLC on September 20, 2024 and sell it today you would earn a total of  9,850  from holding Indivior PLC or generate 12.09% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	95.65%
Values	Daily Returns

Citigroup  vs.  Indivior PLC

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 unfluctuating fundamental indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Indivior PLC

Risk-Adjusted Performance

9 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Indivior PLC are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively unsteady basic indicators, Indivior PLC unveiled solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Indivior PLC

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

The idea behind Citigroup and Indivior PLC 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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.