Correlation Between Citigroup and CI Signature

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

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

Diversification Opportunities for Citigroup and CI Signature

0.47

Correlation Coefficient

Citigroup  CI Signature

Very weak diversification

The 3 months correlation between Citigroup and 0P0001AAKP is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and CI Signature Cat in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CI Signature Cat 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 CI Signature. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CI Signature Cat has no effect on the direction of Citigroup i.e., Citigroup and CI Signature go up and down completely randomly.

Pair Corralation between Citigroup and CI Signature

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.08 times less return on investment than CI Signature. In addition to that, Citigroup is 1.2 times more volatile than CI Signature Cat. It trades about 0.09 of its total potential returns per unit of risk. CI Signature Cat is currently generating about 0.12 per unit of volatility. If you would invest  1,760  in CI Signature Cat on December 1, 2024 and sell it today you would earn a total of  1,934  from holding CI Signature Cat or generate 109.89% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	99.8%
Values	Daily Returns

Citigroup  vs.  CI Signature Cat

Citigroup

Risk-Adjusted Performance

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 unfluctuating fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

CI Signature Cat

Risk-Adjusted Performance

Very Weak

Over the last 90 days CI Signature Cat has generated negative risk-adjusted returns adding no value to fund investors. Despite somewhat strong basic indicators, CI Signature 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 CI Signature

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

The idea behind Citigroup and CI Signature Cat 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.