Correlation Between Citigroup and Innovator Capital

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

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

Diversification Opportunities for Citigroup and Innovator Capital

0.91

Correlation Coefficient

Citigroup  Innovator Capital

Almost no diversification

The 3 months correlation between Citigroup and Innovator is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Innovator Capital Management in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Innovator Capital 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 Innovator Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Innovator Capital has no effect on the direction of Citigroup i.e., Citigroup and Innovator Capital go up and down completely randomly.

Pair Corralation between Citigroup and Innovator Capital

Taking into account the 90-day investment horizon Citigroup is expected to generate 3.99 times more return on investment than Innovator Capital. However, Citigroup is 3.99 times more volatile than Innovator Capital Management. It trades about 0.07 of its potential returns per unit of risk. Innovator Capital Management is currently generating about 0.23 per unit of risk. If you would invest  4,168  in Citigroup on September 20, 2024 and sell it today you would earn a total of  2,674  from holding Citigroup or generate 64.16% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	28.23%
Values	Daily Returns

Citigroup  vs.  Innovator Capital Management

Citigroup

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 7 (%) 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 January 2025.

Innovator Capital

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Innovator Capital Management has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound basic indicators, Innovator Capital is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with Citigroup and Innovator Capital

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

The idea behind Citigroup and Innovator Capital Management 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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.