Correlation Between Citigroup and Citra Borneo

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

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

Diversification Opportunities for Citigroup and Citra Borneo

-0.83

Correlation Coefficient

Citigroup  Citra Borneo

Pay attention - limited upside

The 3 months correlation between Citigroup and Citra is -0.83. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Citra Borneo Utama in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citra Borneo Utama 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 Citra Borneo. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citra Borneo Utama has no effect on the direction of Citigroup i.e., Citigroup and Citra Borneo go up and down completely randomly.

Pair Corralation between Citigroup and Citra Borneo

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.41 times more return on investment than Citra Borneo. However, Citigroup is 2.46 times less risky than Citra Borneo. It trades about 0.07 of its potential returns per unit of risk. Citra Borneo Utama is currently generating about -0.14 per unit of risk. If you would invest  7,186  in Citigroup on October 10, 2024 and sell it today you would earn a total of  140.00  from holding Citigroup or generate 1.95% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Significant
Accuracy	90.48%
Values	Daily Returns

Citigroup  vs.  Citra Borneo Utama

Citigroup

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 11 (%) 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.

Citra Borneo Utama

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Citra Borneo Utama has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in February 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with Citigroup and Citra Borneo

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

The idea behind Citigroup and Citra Borneo Utama 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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.