Correlation Between Citigroup and Allan Gray

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

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

Diversification Opportunities for Citigroup and Allan Gray

0.03

Correlation Coefficient

Citigroup  Allan Gray

Significant diversification

The 3 months correlation between Citigroup and Allan is 0.03. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Allan Gray Tax free in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Allan Gray Tax 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 Allan Gray. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Allan Gray Tax has no effect on the direction of Citigroup i.e., Citigroup and Allan Gray go up and down completely randomly.

Pair Corralation between Citigroup and Allan Gray

Taking into account the 90-day investment horizon Citigroup is expected to generate 4.63 times more return on investment than Allan Gray. However, Citigroup is 4.63 times more volatile than Allan Gray Tax free. It trades about 0.05 of its potential returns per unit of risk. Allan Gray Tax free is currently generating about 0.12 per unit of risk. If you would invest  7,086  in Citigroup on December 26, 2024 and sell it today you would earn a total of  361.00  from holding Citigroup or generate 5.09% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	98.36%
Values	Daily Returns

Citigroup  vs.  Allan Gray Tax free

Citigroup

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 4 (%) 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 April 2025.

Allan Gray Tax

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Allan Gray Tax free are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat strong technical and fundamental indicators, Allan Gray is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and Allan Gray

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

The idea behind Citigroup and Allan Gray Tax free 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.