Correlation Between Citigroup and DukSan Neolux

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

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

Diversification Opportunities for Citigroup and DukSan Neolux

0.32

Correlation Coefficient

Citigroup  DukSan Neolux

Weak diversification

The 3 months correlation between Citigroup and DukSan is 0.32. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and DukSan Neolux CoLtd in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on DukSan Neolux CoLtd 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 DukSan Neolux. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DukSan Neolux CoLtd has no effect on the direction of Citigroup i.e., Citigroup and DukSan Neolux go up and down completely randomly.

Pair Corralation between Citigroup and DukSan Neolux

Taking into account the 90-day investment horizon Citigroup is expected to generate 4.1 times less return on investment than DukSan Neolux. But when comparing it to its historical volatility, Citigroup is 3.02 times less risky than DukSan Neolux. It trades about 0.16 of its potential returns per unit of risk. DukSan Neolux CoLtd is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest  2,940,000  in DukSan Neolux CoLtd on November 20, 2024 and sell it today you would earn a total of  440,000  from holding DukSan Neolux CoLtd or generate 14.97% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	85.0%
Values	Daily Returns

Citigroup  vs.  DukSan Neolux CoLtd

Citigroup

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 19 (%) 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.

DukSan Neolux CoLtd

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in DukSan Neolux CoLtd are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, DukSan Neolux sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and DukSan Neolux

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

The idea behind Citigroup and DukSan Neolux CoLtd 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 Commodity Directory module to find actively traded commodities issued by global exchanges.