Correlation Between Citigroup and ABF Thailand

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

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

Diversification Opportunities for Citigroup and ABF Thailand

-0.15

Correlation Coefficient

Citigroup  ABF Thailand

Good diversification

The 3 months correlation between Citigroup and ABF is -0.15. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and The ABF Thailand in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ABF Thailand 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 ABF Thailand. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ABF Thailand has no effect on the direction of Citigroup i.e., Citigroup and ABF Thailand go up and down completely randomly.

Pair Corralation between Citigroup and ABF Thailand

If you would invest  6,871  in Citigroup on December 20, 2024 and sell it today you would earn a total of  273.00  from holding Citigroup or generate 3.97% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	98.36%
Values	Daily Returns

Citigroup  vs.  The ABF Thailand

Citigroup

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound fundamental indicators, Citigroup is not utilizing all of its potentials. The recent stock price tumult, may contribute to shorter-term losses for the shareholders.

ABF Thailand

Risk-Adjusted Performance

Very Weak

Over the last 90 days The ABF Thailand has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong fundamental drivers, ABF Thailand 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 ABF Thailand

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

The idea behind Citigroup and The ABF Thailand 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.