Correlation Between Citigroup and Nusa Raya

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

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

Diversification Opportunities for Citigroup and Nusa Raya

-0.12

Correlation Coefficient

Citigroup  Nusa Raya

Good diversification

The 3 months correlation between Citigroup and Nusa is -0.12. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Nusa Raya Cipta in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nusa Raya Cipta 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 Nusa Raya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nusa Raya Cipta has no effect on the direction of Citigroup i.e., Citigroup and Nusa Raya go up and down completely randomly.

Pair Corralation between Citigroup and Nusa Raya

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.02 times more return on investment than Nusa Raya. However, Citigroup is 1.02 times more volatile than Nusa Raya Cipta. It trades about 0.07 of its potential returns per unit of risk. Nusa Raya Cipta is currently generating about 0.06 per unit of risk. If you would invest  4,162  in Citigroup on September 19, 2024 and sell it today you would earn a total of  2,650  from holding Citigroup or generate 63.67% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	95.36%
Values	Daily Returns

Citigroup  vs.  Nusa Raya Cipta

Citigroup

Risk-Adjusted Performance

6 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 6 (%) 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.

Nusa Raya Cipta

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Nusa Raya Cipta has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Nusa Raya is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Citigroup and Nusa Raya

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

The idea behind Citigroup and Nusa Raya Cipta 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 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.