Correlation Between Citigroup and Putnam Short

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

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

Diversification Opportunities for Citigroup and Putnam Short

0.79

Correlation Coefficient

Citigroup  Putnam Short

Poor diversification

The 3 months correlation between Citigroup and Putnam is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Putnam Short Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Putnam Short Duration 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 Putnam Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Putnam Short Duration has no effect on the direction of Citigroup i.e., Citigroup and Putnam Short go up and down completely randomly.

Pair Corralation between Citigroup and Putnam Short

Taking into account the 90-day investment horizon Citigroup is expected to generate 22.25 times more return on investment than Putnam Short. However, Citigroup is 22.25 times more volatile than Putnam Short Duration. It trades about 0.14 of its potential returns per unit of risk. Putnam Short Duration is currently generating about 0.1 per unit of risk. If you would invest  6,133  in Citigroup on September 27, 2024 and sell it today you would earn a total of  1,002  from holding Citigroup or generate 16.34% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.44%
Values	Daily Returns

Citigroup  vs.  Putnam Short Duration

Citigroup

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) 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.

Putnam Short Duration

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Putnam Short Duration are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong essential indicators, Putnam Short is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and Putnam Short

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

The idea behind Citigroup and Putnam Short Duration 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 Commodity Directory module to find actively traded commodities issued by global exchanges.