Correlation Between Citigroup and American Films

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

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

Diversification Opportunities for Citigroup and American Films

0.06

Correlation Coefficient

Citigroup  American Films

Significant diversification

The 3 months correlation between Citigroup and American is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and American Films in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on American Films 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 American Films. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of American Films has no effect on the direction of Citigroup i.e., Citigroup and American Films go up and down completely randomly.

Pair Corralation between Citigroup and American Films

Taking into account the 90-day investment horizon Citigroup is expected to generate 3.48 times less return on investment than American Films. But when comparing it to its historical volatility, Citigroup is 5.2 times less risky than American Films. It trades about 0.05 of its potential returns per unit of risk. American Films is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  8.01  in American Films on December 26, 2024 and sell it today you would lose (0.82) from holding American Films or give up 10.24% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	96.77%
Values	Daily Returns

Citigroup  vs.  American Films

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.

American Films

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in American Films are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite quite weak technical and fundamental indicators, American Films disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and American Films

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

The idea behind Citigroup and American Films 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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.