Correlation Between Citigroup and Gmo-usonian Japan

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

By analyzing existing cross correlation between Citigroup and Gmo Usonian Japan Value, you can compare the effects of market volatilities on Citigroup and Gmo-usonian Japan 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 Gmo-usonian Japan. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Gmo-usonian Japan.

Diversification Opportunities for Citigroup and Gmo-usonian Japan

-0.07

Correlation Coefficient

Citigroup  Gmo-usonian Japan

Good diversification

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

Pair Corralation between Citigroup and Gmo-usonian Japan

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.05 times more return on investment than Gmo-usonian Japan. However, Citigroup is 2.05 times more volatile than Gmo Usonian Japan Value. It trades about 0.25 of its potential returns per unit of risk. Gmo Usonian Japan Value is currently generating about 0.02 per unit of risk. If you would invest  6,360  in Citigroup on October 26, 2024 and sell it today you would earn a total of  1,809  from holding Citigroup or generate 28.44% return on investment over 90 days.

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

Citigroup  vs.  Gmo Usonian Japan Value

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.

Gmo Usonian Japan

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Gmo Usonian Japan Value are ranked lower than 1 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Gmo-usonian Japan 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 Gmo-usonian Japan

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

The idea behind Citigroup and Gmo Usonian Japan Value 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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.