Correlation Between Citigroup and Dfa International

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

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

Diversification Opportunities for Citigroup and Dfa International

0.34

Correlation Coefficient

Citigroup  Dfa International

Weak diversification

The 3 months correlation between Citigroup and Dfa is 0.34. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Dfa International Real in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dfa International Real 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 International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dfa International Real has no effect on the direction of Citigroup i.e., Citigroup and Dfa International go up and down completely randomly.

Pair Corralation between Citigroup and Dfa International

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.31 times less return on investment than Dfa International. In addition to that, Citigroup is 2.77 times more volatile than Dfa International Real. It trades about 0.03 of its total potential returns per unit of risk. Dfa International Real is currently generating about 0.09 per unit of volatility. If you would invest  329.00  in Dfa International Real on December 27, 2024 and sell it today you would earn a total of  13.00  from holding Dfa International Real or generate 3.95% return on investment over 90 days.

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

Citigroup  vs.  Dfa International Real

Citigroup

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound fundamental indicators, Citigroup is not utilizing all of its potentials. The newest stock price tumult, may contribute to shorter-term losses for the shareholders.

Dfa International Real

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Dfa International Real are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Dfa International 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 International

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

The idea behind Citigroup and Dfa International Real 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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.