Correlation Between Citigroup and Abacus FCF

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

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

Diversification Opportunities for Citigroup and Abacus FCF

0.76

Correlation Coefficient

Citigroup  Abacus FCF

Poor diversification

The 3 months correlation between Citigroup and Abacus is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Abacus FCF Leaders in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Abacus FCF Leaders 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 Abacus FCF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Abacus FCF Leaders has no effect on the direction of Citigroup i.e., Citigroup and Abacus FCF go up and down completely randomly.

Pair Corralation between Citigroup and Abacus FCF

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.83 times more return on investment than Abacus FCF. However, Citigroup is 1.83 times more volatile than Abacus FCF Leaders. It trades about 0.05 of its potential returns per unit of risk. Abacus FCF Leaders is currently generating about -0.03 per unit of risk. If you would invest  6,795  in Citigroup on December 19, 2024 and sell it today you would earn a total of  349.00  from holding Citigroup or generate 5.14% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Abacus FCF Leaders

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.

Abacus FCF Leaders

Risk-Adjusted Performance

Very Weak

Over the last 90 days Abacus FCF Leaders has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent technical and fundamental indicators, Abacus FCF is not utilizing all of its potentials. The current stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Citigroup and Abacus FCF

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

The idea behind Citigroup and Abacus FCF Leaders 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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.