Correlation Between Citigroup and Lazard Emerging

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

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

Diversification Opportunities for Citigroup and Lazard Emerging

0.54

Correlation Coefficient

Citigroup  Lazard Emerging

Very weak diversification

The 3 months correlation between Citigroup and LAZARD is 0.54. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Lazard Emerging Markets in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lazard Emerging Markets 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 Lazard Emerging. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lazard Emerging Markets has no effect on the direction of Citigroup i.e., Citigroup and Lazard Emerging go up and down completely randomly.

Pair Corralation between Citigroup and Lazard Emerging

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.93 times more return on investment than Lazard Emerging. However, Citigroup is 1.93 times more volatile than Lazard Emerging Markets. It trades about 0.07 of its potential returns per unit of risk. Lazard Emerging Markets is currently generating about 0.03 per unit of risk. If you would invest  5,549  in Citigroup on December 5, 2024 and sell it today you would earn a total of  1,686  from holding Citigroup or generate 30.38% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	99.6%
Values	Daily Returns

Citigroup  vs.  Lazard Emerging Markets

Citigroup

Risk-Adjusted Performance

Weak

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 recent stock price tumult, may contribute to shorter-term losses for the shareholders.

Lazard Emerging Markets

Risk-Adjusted Performance

Very Weak

Over the last 90 days Lazard Emerging Markets has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Lazard Emerging 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 Lazard Emerging

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

The idea behind Citigroup and Lazard Emerging Markets 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.