Correlation Between Citigroup and CI Short

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

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

Diversification Opportunities for Citigroup and CI Short

0.07

Correlation Coefficient

Citigroup  CI Short

Significant diversification

The 3 months correlation between Citigroup and FGB is 0.07. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and CI Short Term in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CI Short Term 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 CI Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CI Short Term has no effect on the direction of Citigroup i.e., Citigroup and CI Short go up and down completely randomly.

Pair Corralation between Citigroup and CI Short

Taking into account the 90-day investment horizon Citigroup is expected to generate 12.73 times more return on investment than CI Short. However, Citigroup is 12.73 times more volatile than CI Short Term. It trades about 0.03 of its potential returns per unit of risk. CI Short Term is currently generating about 0.12 per unit of risk. If you would invest  7,051  in Citigroup on December 27, 2024 and sell it today you would earn a total of  134.00  from holding Citigroup or generate 1.9% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	98.39%
Values	Daily Returns

Citigroup  vs.  CI Short Term

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.

CI Short Term

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in CI Short Term are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy fundamental drivers, CI Short is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and CI Short

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

The idea behind Citigroup and CI Short Term 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.