Correlation Between Citigroup and Fortress Transp

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

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

Diversification Opportunities for Citigroup and Fortress Transp

-0.32

Correlation Coefficient

Citigroup  Fortress Transp

Very good diversification

The 3 months correlation between Citigroup and Fortress is -0.32. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Fortress Transp Infra in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fortress Transp Infra 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 Fortress Transp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fortress Transp Infra has no effect on the direction of Citigroup i.e., Citigroup and Fortress Transp go up and down completely randomly.

Pair Corralation between Citigroup and Fortress Transp

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.22 times more return on investment than Fortress Transp. However, Citigroup is 4.54 times less risky than Fortress Transp. It trades about 0.24 of its potential returns per unit of risk. Fortress Transp Infra is currently generating about -0.14 per unit of risk. If you would invest  7,075  in Citigroup on October 26, 2024 and sell it today you would earn a total of  1,094  from holding Citigroup or generate 15.46% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Fortress Transp Infra

Citigroup

Risk-Adjusted Performance

19 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 19 (%) 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.

Fortress Transp Infra

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Fortress Transp Infra has generated negative risk-adjusted returns adding no value to investors with long positions. Despite unsteady performance in the last few months, the Stock's basic indicators remain fairly strong which may send shares a bit higher in February 2025. The recent confusion may also be a sign of long-lasting up-swing for the firm traders.

Pair Trading with Citigroup and Fortress Transp

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

The idea behind Citigroup and Fortress Transp Infra 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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.