Correlation Between Citigroup and Guggenheim Macro

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

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

Diversification Opportunities for Citigroup and Guggenheim Macro

0.19

Correlation Coefficient

Citigroup  Guggenheim Macro

Average diversification

The 3 months correlation between Citigroup and Guggenheim is 0.19. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Guggenheim Macro Opportunities in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Guggenheim Macro Opp 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 Guggenheim Macro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Guggenheim Macro Opp has no effect on the direction of Citigroup i.e., Citigroup and Guggenheim Macro go up and down completely randomly.

Pair Corralation between Citigroup and Guggenheim Macro

Taking into account the 90-day investment horizon Citigroup is expected to generate 14.84 times more return on investment than Guggenheim Macro. However, Citigroup is 14.84 times more volatile than Guggenheim Macro Opportunities. It trades about 0.03 of its potential returns per unit of risk. Guggenheim Macro Opportunities is currently generating about 0.19 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	100.0%
Values	Daily Returns

Citigroup  vs.  Guggenheim Macro Opportunities

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.

Guggenheim Macro Opp

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Guggenheim Macro Opportunities are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Guggenheim Macro is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and Guggenheim Macro

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

The idea behind Citigroup and Guggenheim Macro Opportunities 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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.