Correlation Between Citigroup and BRFSBZ

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

By analyzing existing cross correlation between Citigroup and BRFSBZ 575 21 SEP 50, you can compare the effects of market volatilities on Citigroup and BRFSBZ 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 BRFSBZ. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and BRFSBZ.

Diversification Opportunities for Citigroup and BRFSBZ

0.76

Correlation Coefficient

Citigroup  BRFSBZ

Poor diversification

The 3 months correlation between Citigroup and BRFSBZ is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and BRFSBZ 575 21 SEP 50 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BRFSBZ 575 21 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 BRFSBZ. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BRFSBZ 575 21 has no effect on the direction of Citigroup i.e., Citigroup and BRFSBZ go up and down completely randomly.

Pair Corralation between Citigroup and BRFSBZ

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.73 times less return on investment than BRFSBZ. But when comparing it to its historical volatility, Citigroup is 2.81 times less risky than BRFSBZ. It trades about 0.09 of its potential returns per unit of risk. BRFSBZ 575 21 SEP 50 is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  6,358  in BRFSBZ 575 21 SEP 50 on September 14, 2024 and sell it today you would earn a total of  1,665  from holding BRFSBZ 575 21 SEP 50 or generate 26.19% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	20.1%
Values	Daily Returns

Citigroup  vs.  BRFSBZ 575 21 SEP 50

Citigroup

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 14 (%) 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.

BRFSBZ 575 21

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days BRFSBZ 575 21 SEP 50 has generated negative risk-adjusted returns adding no value to investors with long positions. Despite unfluctuating performance in the last few months, the Bond's basic indicators remain somewhat strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for BRFSBZ 575 21 SEP 50 investors.

Pair Trading with Citigroup and BRFSBZ

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

The idea behind Citigroup and BRFSBZ 575 21 SEP 50 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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.