Correlation Between Citigroup and Harvest Fund

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

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

Diversification Opportunities for Citigroup and Harvest Fund

0.9

Correlation Coefficient

Citigroup  Harvest Fund

Almost no diversification

The 3 months correlation between Citigroup and Harvest is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Harvest Fund Management in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Harvest Fund Management 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 Harvest Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Harvest Fund Management has no effect on the direction of Citigroup i.e., Citigroup and Harvest Fund go up and down completely randomly.

Pair Corralation between Citigroup and Harvest Fund

Taking into account the 90-day investment horizon Citigroup is expected to under-perform the Harvest Fund. In addition to that, Citigroup is 1.56 times more volatile than Harvest Fund Management. It trades about -0.08 of its total potential returns per unit of risk. Harvest Fund Management is currently generating about 0.05 per unit of volatility. If you would invest  336.00  in Harvest Fund Management on December 3, 2024 and sell it today you would earn a total of  3.00  from holding Harvest Fund Management or generate 0.89% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	95.24%
Values	Daily Returns

Citigroup  vs.  Harvest Fund Management

Citigroup

Risk-Adjusted Performance

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 April 2025.

Harvest Fund Management

Risk-Adjusted Performance

Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Harvest Fund Management are ranked lower than 26 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Harvest Fund sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Harvest Fund

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

The idea behind Citigroup and Harvest Fund Management 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.