Correlation Between Citigroup and Fundo Investec

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

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

Diversification Opportunities for Citigroup and Fundo Investec

-0.78

Correlation Coefficient

Citigroup  Fundo Investec

Pay attention - limited upside

The 3 months correlation between Citigroup and Fundo is -0.78. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Fundo Investec IMB in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fundo Investec IMB 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 Fundo Investec. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fundo Investec IMB has no effect on the direction of Citigroup i.e., Citigroup and Fundo Investec go up and down completely randomly.

Pair Corralation between Citigroup and Fundo Investec

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.41 times more return on investment than Fundo Investec. However, Citigroup is 2.44 times less risky than Fundo Investec. It trades about 0.03 of its potential returns per unit of risk. Fundo Investec IMB is currently generating about -0.16 per unit of risk. If you would invest  6,860  in Citigroup on September 20, 2024 and sell it today you would earn a total of  42.00  from holding Citigroup or generate 0.61% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	95.45%
Values	Daily Returns

Citigroup  vs.  Fundo Investec IMB

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 unfluctuating fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Fundo Investec IMB

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Fundo Investec IMB has generated negative risk-adjusted returns adding no value to fund investors. Despite latest weak performance, the Fund's essential indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Citigroup and Fundo Investec

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

The idea behind Citigroup and Fundo Investec IMB 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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.