Correlation Between Citigroup and GLT Old

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

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

Diversification Opportunities for Citigroup and GLT Old

0.28

Correlation Coefficient

Citigroup  GLT Old

Modest diversification

The 3 months correlation between Citigroup and GLT is 0.28. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and GLT Old in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on GLT Old 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 GLT Old. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of GLT Old has no effect on the direction of Citigroup i.e., Citigroup and GLT Old go up and down completely randomly.

Pair Corralation between Citigroup and GLT Old

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.46 times more return on investment than GLT Old. However, Citigroup is 2.18 times less risky than GLT Old. It trades about 0.28 of its potential returns per unit of risk. GLT Old is currently generating about -0.21 per unit of risk. If you would invest  6,122  in Citigroup on October 25, 2024 and sell it today you would earn a total of  2,047  from holding Citigroup or generate 33.44% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	13.56%
Values	Daily Returns

Citigroup  vs.  GLT Old

Citigroup

Risk-Adjusted Performance

21 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 21 (%) 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.

GLT Old

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days GLT Old has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of unsteady performance in the last few months, the Stock's essential indicators remain comparatively stable which may send shares a bit higher in February 2025. The newest uproar may also be a sign of mid-term up-swing for the firm private investors.

Pair Trading with Citigroup and GLT Old

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

The idea behind Citigroup and GLT Old 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.