Correlation Between Citigroup and Dfa Investment

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

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

Diversification Opportunities for Citigroup and Dfa Investment

0.89

Correlation Coefficient

Citigroup  Dfa Investment

Very poor diversification

The 3 months correlation between Citigroup and Dfa is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Dfa Investment Dimensions in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dfa Investment Dimensions 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 Dfa Investment. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dfa Investment Dimensions has no effect on the direction of Citigroup i.e., Citigroup and Dfa Investment go up and down completely randomly.

Pair Corralation between Citigroup and Dfa Investment

Taking into account the 90-day investment horizon Citigroup is expected to under-perform the Dfa Investment. In addition to that, Citigroup is 27.95 times more volatile than Dfa Investment Dimensions. It trades about -0.04 of its total potential returns per unit of risk. Dfa Investment Dimensions is currently generating about 0.23 per unit of volatility. If you would invest  995.00  in Dfa Investment Dimensions on October 8, 2024 and sell it today you would earn a total of  2.00  from holding Dfa Investment Dimensions or generate 0.2% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Dfa Investment Dimensions

Citigroup

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 9 (%) 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.

Dfa Investment Dimensions

Risk-Adjusted Performance

21 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Dfa Investment Dimensions are ranked lower than 21 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental drivers, Dfa Investment 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 Dfa Investment

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

The idea behind Citigroup and Dfa Investment Dimensions 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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.