Correlation Between Citigroup and Informa PLC

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

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

Diversification Opportunities for Citigroup and Informa PLC

0.63

Correlation Coefficient

Citigroup  Informa PLC

Poor diversification

The 3 months correlation between Citigroup and Informa is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Informa PLC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Informa PLC 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 Informa PLC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Informa PLC has no effect on the direction of Citigroup i.e., Citigroup and Informa PLC go up and down completely randomly.

Pair Corralation between Citigroup and Informa PLC

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.13 times more return on investment than Informa PLC. However, Citigroup is 1.13 times more volatile than Informa PLC. It trades about 0.07 of its potential returns per unit of risk. Informa PLC is currently generating about -0.43 per unit of risk. If you would invest  6,975  in Citigroup on September 27, 2024 and sell it today you would earn a total of  125.00  from holding Citigroup or generate 1.79% return on investment over 90 days.

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

Citigroup  vs.  Informa PLC

Citigroup

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of rather uncertain fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Informa PLC

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Informa PLC has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, Informa PLC 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 Informa PLC

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

The idea behind Citigroup and Informa PLC 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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.