Correlation Between Citigroup and Marstons PLC

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

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

Diversification Opportunities for Citigroup and Marstons PLC

-0.08

Correlation Coefficient

Citigroup  Marstons PLC

Good diversification

The 3 months correlation between Citigroup and Marstons is -0.08. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Marstons PLC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Marstons 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 Marstons PLC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Marstons PLC has no effect on the direction of Citigroup i.e., Citigroup and Marstons PLC go up and down completely randomly.

Pair Corralation between Citigroup and Marstons PLC

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.15 times less return on investment than Marstons PLC. But when comparing it to its historical volatility, Citigroup is 1.39 times less risky than Marstons PLC. It trades about 0.1 of its potential returns per unit of risk. Marstons PLC is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  4,040  in Marstons PLC on September 23, 2024 and sell it today you would earn a total of  510.00  from holding Marstons PLC or generate 12.62% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	98.48%
Values	Daily Returns

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

Marstons PLC

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Marstons PLC are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively unsteady basic indicators, Marstons PLC unveiled solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Marstons PLC

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

The idea behind Citigroup and Marstons 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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.