Correlation Between Citigroup and Fubon FTSE

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

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

Diversification Opportunities for Citigroup and Fubon FTSE

0.21

Correlation Coefficient

Citigroup  Fubon FTSE

Modest diversification

The 3 months correlation between Citigroup and Fubon is 0.21. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Fubon FTSE TWSE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fubon FTSE TWSE 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 Fubon FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fubon FTSE TWSE has no effect on the direction of Citigroup i.e., Citigroup and Fubon FTSE go up and down completely randomly.

Pair Corralation between Citigroup and Fubon FTSE

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.26 times less return on investment than Fubon FTSE. In addition to that, Citigroup is 1.23 times more volatile than Fubon FTSE TWSE. It trades about 0.08 of its total potential returns per unit of risk. Fubon FTSE TWSE is currently generating about 0.21 per unit of volatility. If you would invest  10,990  in Fubon FTSE TWSE on September 27, 2024 and sell it today you would earn a total of  500.00  from holding Fubon FTSE TWSE or generate 4.55% return on investment over 90 days.

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

Citigroup  vs.  Fubon FTSE TWSE

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

Fubon FTSE TWSE

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Fubon FTSE TWSE are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, Fubon FTSE is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and Fubon FTSE

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

The idea behind Citigroup and Fubon FTSE TWSE 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.

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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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..