Correlation Between Citigroup and Lepanto Consolidated

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

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

Diversification Opportunities for Citigroup and Lepanto Consolidated

-0.04

Correlation Coefficient

Citigroup  Lepanto Consolidated

Good diversification

The 3 months correlation between Citigroup and Lepanto is -0.04. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Lepanto Consolidated Mining in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lepanto Consolidated 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 Lepanto Consolidated. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lepanto Consolidated has no effect on the direction of Citigroup i.e., Citigroup and Lepanto Consolidated go up and down completely randomly.

Pair Corralation between Citigroup and Lepanto Consolidated

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.29 times less return on investment than Lepanto Consolidated. But when comparing it to its historical volatility, Citigroup is 2.6 times less risky than Lepanto Consolidated. It trades about 0.12 of its potential returns per unit of risk. Lepanto Consolidated Mining is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  6.20  in Lepanto Consolidated Mining on September 24, 2024 and sell it today you would earn a total of  0.60  from holding Lepanto Consolidated Mining or generate 9.68% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	84.38%
Values	Daily Returns

Citigroup  vs.  Lepanto Consolidated Mining

Citigroup

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 9 (%) 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.

Lepanto Consolidated

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Lepanto Consolidated Mining are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. In spite of rather unsteady technical and fundamental indicators, Lepanto Consolidated exhibited solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Lepanto Consolidated

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

The idea behind Citigroup and Lepanto Consolidated Mining 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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.