Correlation Between Citigroup and 670001AH9

Can any of the company-specific risk be diversified away by investing in both Citigroup and 670001AH9 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 670001AH9 into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Citigroup and US670001AH91, you can compare the effects of market volatilities on Citigroup and 670001AH9 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 670001AH9. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and 670001AH9.

Diversification Opportunities for Citigroup and 670001AH9

-0.72

Correlation Coefficient

Citigroup  670001AH9

Pay attention - limited upside

The 3 months correlation between Citigroup and 670001AH9 is -0.72. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and US670001AH91 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on US670001AH91 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 670001AH9. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of US670001AH91 has no effect on the direction of Citigroup i.e., Citigroup and 670001AH9 go up and down completely randomly.

Pair Corralation between Citigroup and 670001AH9

Taking into account the 90-day investment horizon Citigroup is expected to generate 4.36 times more return on investment than 670001AH9. However, Citigroup is 4.36 times more volatile than US670001AH91. It trades about 0.2 of its potential returns per unit of risk. US670001AH91 is currently generating about -0.2 per unit of risk. If you would invest  5,716  in Citigroup on September 13, 2024 and sell it today you would earn a total of  1,480  from holding Citigroup or generate 25.89% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	93.65%
Values	Daily Returns

Citigroup  vs.  US670001AH91

Citigroup

Risk-Adjusted Performance

15 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 15 (%) 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.

US670001AH91

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days US670001AH91 has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, 670001AH9 is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and 670001AH9

The main advantage of trading using opposite Citigroup and 670001AH9 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, 670001AH9 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 670001AH9 will offset losses from the drop in 670001AH9's long position.

The idea behind Citigroup and US670001AH91 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.