Correlation Between Citigroup and Joo Fortes

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

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

Diversification Opportunities for Citigroup and Joo Fortes

-0.86

Correlation Coefficient

Citigroup  Joo Fortes

Pay attention - limited upside

The 3 months correlation between Citigroup and Joo is -0.86. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Joo Fortes Engenharia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Joo Fortes Engenharia 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 Joo Fortes. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Joo Fortes Engenharia has no effect on the direction of Citigroup i.e., Citigroup and Joo Fortes go up and down completely randomly.

Pair Corralation between Citigroup and Joo Fortes

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.29 times more return on investment than Joo Fortes. However, Citigroup is 3.4 times less risky than Joo Fortes. It trades about 0.18 of its potential returns per unit of risk. Joo Fortes Engenharia is currently generating about -0.2 per unit of risk. If you would invest  5,788  in Citigroup on September 16, 2024 and sell it today you would earn a total of  1,313  from holding Citigroup or generate 22.68% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Significant
Accuracy	98.46%
Values	Daily Returns

Citigroup  vs.  Joo Fortes Engenharia

Citigroup

Risk-Adjusted Performance

13 of 100

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 unfluctuating fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Joo Fortes Engenharia

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Joo Fortes Engenharia has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of uncertain performance in the last few months, the Stock's basic indicators remain comparatively stable which may send shares a bit higher in January 2025. The newest uproar may also be a sign of mid-term up-swing for the firm private investors.

Pair Trading with Citigroup and Joo Fortes

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

The idea behind Citigroup and Joo Fortes Engenharia 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.