Correlation Between Citigroup and San Miguel

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

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

Diversification Opportunities for Citigroup and San Miguel

0.12

Correlation Coefficient

Citigroup  San Miguel

Average diversification

The 3 months correlation between Citigroup and San is 0.12. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and San Miguel Pure in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on San Miguel Pure 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 San Miguel. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of San Miguel Pure has no effect on the direction of Citigroup i.e., Citigroup and San Miguel go up and down completely randomly.

Pair Corralation between Citigroup and San Miguel

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.39 times more return on investment than San Miguel. However, Citigroup is 1.39 times more volatile than San Miguel Pure. It trades about 0.06 of its potential returns per unit of risk. San Miguel Pure is currently generating about 0.05 per unit of risk. If you would invest  4,708  in Citigroup on October 11, 2024 and sell it today you would earn a total of  2,618  from holding Citigroup or generate 55.61% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	96.77%
Values	Daily Returns

Citigroup  vs.  San Miguel Pure

Citigroup

Risk-Adjusted Performance

9 of 100

Good

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.

San Miguel Pure

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days San Miguel Pure has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound basic indicators, San Miguel is not utilizing all of its potentials. The newest stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with Citigroup and San Miguel

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

The idea behind Citigroup and San Miguel Pure 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 Search module to search for actively traded equities including funds and ETFs from over 30 global markets.