Correlation Between Citigroup and Algebris UCITS

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

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

Diversification Opportunities for Citigroup and Algebris UCITS

-0.13

Correlation Coefficient

Citigroup  Algebris UCITS

Good diversification

The 3 months correlation between Citigroup and Algebris is -0.13. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Algebris UCITS Funds in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Algebris UCITS Funds 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 Algebris UCITS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Algebris UCITS Funds has no effect on the direction of Citigroup i.e., Citigroup and Algebris UCITS go up and down completely randomly.

Pair Corralation between Citigroup and Algebris UCITS

Taking into account the 90-day investment horizon Citigroup is expected to generate 13.81 times more return on investment than Algebris UCITS. However, Citigroup is 13.81 times more volatile than Algebris UCITS Funds. It trades about 0.12 of its potential returns per unit of risk. Algebris UCITS Funds is currently generating about 0.06 per unit of risk. If you would invest  6,209  in Citigroup on October 4, 2024 and sell it today you would earn a total of  830.00  from holding Citigroup or generate 13.37% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	96.77%
Values	Daily Returns

Citigroup  vs.  Algebris UCITS Funds

Citigroup

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of rather unsteady fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Algebris UCITS Funds

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Algebris UCITS Funds are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat strong basic indicators, Algebris UCITS 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 Algebris UCITS

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

The idea behind Citigroup and Algebris UCITS Funds 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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.