Correlation Between Citigroup and ArcelorMittal South

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

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

Diversification Opportunities for Citigroup and ArcelorMittal South

-0.15

Correlation Coefficient

Citigroup  ArcelorMittal South

Good diversification

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

Pair Corralation between Citigroup and ArcelorMittal South

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.34 times more return on investment than ArcelorMittal South. However, Citigroup is 2.95 times less risky than ArcelorMittal South. It trades about 0.08 of its potential returns per unit of risk. ArcelorMittal South Africa is currently generating about -0.03 per unit of risk. If you would invest  4,091  in Citigroup on September 15, 2024 and sell it today you would earn a total of  3,010  from holding Citigroup or generate 73.58% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	99.39%
Values	Daily Returns

Citigroup  vs.  ArcelorMittal South Africa

Citigroup

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 13 (%) 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.

ArcelorMittal South

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in ArcelorMittal South Africa are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. In spite of rather unsteady technical and fundamental indicators, ArcelorMittal South may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Citigroup and ArcelorMittal South

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

The idea behind Citigroup and ArcelorMittal South Africa 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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.