Correlation Between Citigroup and Vietnam National

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

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

Diversification Opportunities for Citigroup and Vietnam National

-0.41

Correlation Coefficient

Citigroup  Vietnam National

Very good diversification

The 3 months correlation between Citigroup and Vietnam is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Vietnam National Reinsurance in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vietnam National Rei 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 Vietnam National. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vietnam National Rei has no effect on the direction of Citigroup i.e., Citigroup and Vietnam National go up and down completely randomly.

Pair Corralation between Citigroup and Vietnam National

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.42 times less return on investment than Vietnam National. But when comparing it to its historical volatility, Citigroup is 1.24 times less risky than Vietnam National. It trades about 0.2 of its potential returns per unit of risk. Vietnam National Reinsurance is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest  2,063,636  in Vietnam National Reinsurance on September 16, 2024 and sell it today you would earn a total of  96,364  from holding Vietnam National Reinsurance or generate 4.67% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Vietnam National Reinsurance

Citigroup

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 13 (%) 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.

Vietnam National Rei

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Vietnam National Reinsurance has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy basic indicators, Vietnam National is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and Vietnam National

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

The idea behind Citigroup and Vietnam National Reinsurance 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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.