Correlation Between Citigroup and Great-west Multi-manager

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

By analyzing existing cross correlation between Citigroup and Great West Multi Manager Small, you can compare the effects of market volatilities on Citigroup and Great-west Multi-manager 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 Great-west Multi-manager. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Great-west Multi-manager.

Diversification Opportunities for Citigroup and Great-west Multi-manager

0.88

Correlation Coefficient

Citigroup  Great-west Multi-manager

Very poor diversification

The 3 months correlation between Citigroup and Great-west is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Great West Multi Manager Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Great-west Multi-manager 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 Great-west Multi-manager. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Great-west Multi-manager has no effect on the direction of Citigroup i.e., Citigroup and Great-west Multi-manager go up and down completely randomly.

Pair Corralation between Citigroup and Great-west Multi-manager

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.4 times more return on investment than Great-west Multi-manager. However, Citigroup is 1.4 times more volatile than Great West Multi Manager Small. It trades about 0.07 of its potential returns per unit of risk. Great West Multi Manager Small is currently generating about 0.05 per unit of risk. If you would invest  4,237  in Citigroup on September 4, 2024 and sell it today you would earn a total of  2,905  from holding Citigroup or generate 68.56% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Great West Multi Manager Small

Citigroup

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 11 (%) 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.

Great-west Multi-manager

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Great West Multi Manager Small are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Great-west Multi-manager may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Citigroup and Great-west Multi-manager

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

The idea behind Citigroup and Great West Multi Manager Small 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.