Correlation Between Citigroup and Simt Multi

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

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

Diversification Opportunities for Citigroup and Simt Multi

0.06

Correlation Coefficient

Citigroup  Simt Multi

Significant diversification

The 3 months correlation between Citigroup and Simt is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Simt Multi Asset Capital in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Simt Multi Asset 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 Simt Multi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Simt Multi Asset has no effect on the direction of Citigroup i.e., Citigroup and Simt Multi go up and down completely randomly.

Pair Corralation between Citigroup and Simt Multi

Taking into account the 90-day investment horizon Citigroup is expected to generate 14.2 times more return on investment than Simt Multi. However, Citigroup is 14.2 times more volatile than Simt Multi Asset Capital. It trades about 0.16 of its potential returns per unit of risk. Simt Multi Asset Capital is currently generating about 0.03 per unit of risk. If you would invest  5,937  in Citigroup on September 18, 2024 and sell it today you would earn a total of  1,212  from holding Citigroup or generate 20.41% return on investment over 90 days.

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

Citigroup  vs.  Simt Multi Asset Capital

Citigroup

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 12 (%) 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.

Simt Multi Asset

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Simt Multi Asset Capital are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Simt Multi 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 Simt Multi

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

The idea behind Citigroup and Simt Multi Asset Capital 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.