Correlation Between Citigroup and Corporacion Aceros

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

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

Diversification Opportunities for Citigroup and Corporacion Aceros

-0.32

Correlation Coefficient

Citigroup  Corporacion Aceros

Very good diversification

The 3 months correlation between Citigroup and Corporacion is -0.32. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Corporacion Aceros Arequipa in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Corporacion Aceros 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 Corporacion Aceros. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Corporacion Aceros has no effect on the direction of Citigroup i.e., Citigroup and Corporacion Aceros go up and down completely randomly.

Pair Corralation between Citigroup and Corporacion Aceros

Assuming the 90 days horizon Citigroup is expected to generate 1.63 times more return on investment than Corporacion Aceros. However, Citigroup is 1.63 times more volatile than Corporacion Aceros Arequipa. It trades about 0.36 of its potential returns per unit of risk. Corporacion Aceros Arequipa is currently generating about 0.0 per unit of risk. If you would invest  6,450  in Citigroup on October 26, 2024 and sell it today you would earn a total of  1,755  from holding Citigroup or generate 27.21% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	45.9%
Values	Daily Returns

Citigroup  vs.  Corporacion Aceros Arequipa

Citigroup

Risk-Adjusted Performance

28 of 100

Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 28 (%) of all global equities and portfolios over the last 90 days. In spite of very weak forward indicators, Citigroup displayed solid returns over the last few months and may actually be approaching a breakup point.

Corporacion Aceros

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Corporacion Aceros Arequipa has generated negative risk-adjusted returns adding no value to investors with long positions. Despite fairly strong technical and fundamental indicators, Corporacion Aceros is not utilizing all of its potentials. The recent stock price confusion, may contribute to short-horizon losses for the traders.

Pair Trading with Citigroup and Corporacion Aceros

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

The idea behind Citigroup and Corporacion Aceros Arequipa 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.