Correlation Between Citigroup and CSIF I

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

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

Diversification Opportunities for Citigroup and CSIF I

0.74

Correlation Coefficient

Citigroup  CSIF I

Poor diversification

The 3 months correlation between Citigroup and CSIF is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and CSIF I Real in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CSIF I Real 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 CSIF I. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CSIF I Real has no effect on the direction of Citigroup i.e., Citigroup and CSIF I go up and down completely randomly.

Pair Corralation between Citigroup and CSIF I

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.09 times less return on investment than CSIF I. In addition to that, Citigroup is 2.09 times more volatile than CSIF I Real. It trades about 0.07 of its total potential returns per unit of risk. CSIF I Real is currently generating about 0.32 per unit of volatility. If you would invest  193,807  in CSIF I Real on September 27, 2024 and sell it today you would earn a total of  7,501  from holding CSIF I Real or generate 3.87% return on investment over 90 days.

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

Citigroup  vs.  CSIF I Real

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.

CSIF I Real

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in CSIF I Real are ranked lower than 17 (%) of all funds and portfolios of funds over the last 90 days. Despite nearly unsteady technical and fundamental indicators, CSIF I may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Citigroup and CSIF I

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

The idea behind Citigroup and CSIF I Real 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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.