Correlation Between Citigroup and Duta Pertiwi

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

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

Diversification Opportunities for Citigroup and Duta Pertiwi

0.62

Correlation Coefficient

Citigroup  Duta Pertiwi

Poor diversification

The 3 months correlation between Citigroup and Duta is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Duta Pertiwi Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Duta Pertiwi Tbk 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 Duta Pertiwi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Duta Pertiwi Tbk has no effect on the direction of Citigroup i.e., Citigroup and Duta Pertiwi go up and down completely randomly.

Pair Corralation between Citigroup and Duta Pertiwi

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.09 times more return on investment than Duta Pertiwi. However, Citigroup is 1.09 times more volatile than Duta Pertiwi Tbk. It trades about 0.03 of its potential returns per unit of risk. Duta Pertiwi Tbk is currently generating about -0.09 per unit of risk. If you would invest  6,991  in Citigroup on December 29, 2024 and sell it today you would earn a total of  194.00  from holding Citigroup or generate 2.77% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.36%
Values	Daily Returns

Citigroup  vs.  Duta Pertiwi Tbk

Citigroup

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 2 (%) 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.

Duta Pertiwi Tbk

Risk-Adjusted Performance

Very Weak

Over the last 90 days Duta Pertiwi Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Stock's forward-looking signals remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Pair Trading with Citigroup and Duta Pertiwi

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

The idea behind Citigroup and Duta Pertiwi Tbk 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..