Correlation Between Citigroup and Impact ISR

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

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

Diversification Opportunities for Citigroup and Impact ISR

-0.62

Correlation Coefficient

Citigroup  Impact ISR

Excellent diversification

The 3 months correlation between Citigroup and Impact is -0.62. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Impact ISR Performance in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Impact ISR Performance 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 Impact ISR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Impact ISR Performance has no effect on the direction of Citigroup i.e., Citigroup and Impact ISR go up and down completely randomly.

Pair Corralation between Citigroup and Impact ISR

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.65 times more return on investment than Impact ISR. However, Citigroup is 2.65 times more volatile than Impact ISR Performance. It trades about 0.07 of its potential returns per unit of risk. Impact ISR Performance is currently generating about -0.03 per unit of risk. If you would invest  6,046  in Citigroup on September 23, 2024 and sell it today you would earn a total of  873.00  from holding Citigroup or generate 14.44% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	98.45%
Values	Daily Returns

Citigroup  vs.  Impact ISR Performance

Citigroup

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of rather unsteady fundamental indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Impact ISR Performance

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Impact ISR Performance has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly stable basic indicators, Impact ISR is not utilizing all of its potentials. The current stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Pair Trading with Citigroup and Impact ISR

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

The idea behind Citigroup and Impact ISR Performance 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.