Correlation Between Citigroup and Geberit AG

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

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

Diversification Opportunities for Citigroup and Geberit AG

-0.09

Correlation Coefficient

Citigroup  Geberit AG

Good diversification

The 3 months correlation between Citigroup and Geberit is -0.09. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Geberit AG in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Geberit AG 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 Geberit AG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Geberit AG has no effect on the direction of Citigroup i.e., Citigroup and Geberit AG go up and down completely randomly.

Pair Corralation between Citigroup and Geberit AG

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.13 times less return on investment than Geberit AG. But when comparing it to its historical volatility, Citigroup is 2.3 times less risky than Geberit AG. It trades about 0.2 of its potential returns per unit of risk. Geberit AG is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  5,550  in Geberit AG on September 16, 2024 and sell it today you would earn a total of  200.00  from holding Geberit AG or generate 3.6% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	95.45%
Values	Daily Returns

Citigroup  vs.  Geberit AG

Citigroup

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 13 (%) 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.

Geberit AG

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Geberit AG are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, Geberit AG is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Citigroup and Geberit AG

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

The idea behind Citigroup and Geberit AG 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.

Check out your portfolio center.

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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.