Correlation Between Citigroup and Cap ISR

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

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

Diversification Opportunities for Citigroup and Cap ISR

-0.68

Correlation Coefficient

Citigroup  Cap ISR

Excellent diversification

The 3 months correlation between Citigroup and Cap is -0.68. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Cap ISR Actions in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cap ISR Actions 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 Cap ISR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cap ISR Actions has no effect on the direction of Citigroup i.e., Citigroup and Cap ISR go up and down completely randomly.

Pair Corralation between Citigroup and Cap ISR

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.83 times more return on investment than Cap ISR. However, Citigroup is 2.83 times more volatile than Cap ISR Actions. It trades about 0.1 of its potential returns per unit of risk. Cap ISR Actions is currently generating about -0.04 per unit of risk. If you would invest  6,203  in Citigroup on September 22, 2024 and sell it today you would earn a total of  716.00  from holding Citigroup or generate 11.54% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	98.46%
Values	Daily Returns

Citigroup  vs.  Cap ISR Actions

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 unfluctuating fundamental indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Cap ISR Actions

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Cap ISR Actions has generated negative risk-adjusted returns adding no value to fund investors. Despite somewhat strong basic indicators, Cap ISR is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and Cap ISR

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

The idea behind Citigroup and Cap ISR Actions 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 Transaction History module to view history of all your transactions and understand their impact on performance.