Correlation Between Citigroup and Epiroc AB

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

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

Diversification Opportunities for Citigroup and Epiroc AB

-0.52

Correlation Coefficient

Citigroup  Epiroc AB

Excellent diversification

The 3 months correlation between Citigroup and Epiroc is -0.52. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Epiroc AB in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Epiroc AB 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 Epiroc AB. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Epiroc AB has no effect on the direction of Citigroup i.e., Citigroup and Epiroc AB go up and down completely randomly.

Pair Corralation between Citigroup and Epiroc AB

Taking into account the 90-day investment horizon Citigroup is expected to under-perform the Epiroc AB. But the stock apears to be less risky and, when comparing its historical volatility, Citigroup is 1.18 times less risky than Epiroc AB. The stock trades about -0.09 of its potential returns per unit of risk. The Epiroc AB is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest  19,590  in Epiroc AB on September 24, 2024 and sell it today you would lose (55.00) from holding Epiroc AB or give up 0.28% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	95.24%
Values	Daily Returns

Citigroup  vs.  Epiroc AB

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 uncertain fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Epiroc AB

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Epiroc AB has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, Epiroc AB is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Citigroup and Epiroc AB

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

The idea behind Citigroup and Epiroc AB 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.