Correlation Between Citigroup and Immofonds

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

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

Diversification Opportunities for Citigroup and Immofonds

0.83

Correlation Coefficient

Citigroup  Immofonds

Very poor diversification

The 3 months correlation between Citigroup and Immofonds is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Immofonds in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Immofonds 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 Immofonds. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Immofonds has no effect on the direction of Citigroup i.e., Citigroup and Immofonds go up and down completely randomly.

Pair Corralation between Citigroup and Immofonds

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.28 times less return on investment than Immofonds. In addition to that, Citigroup is 1.58 times more volatile than Immofonds. It trades about 0.07 of its total potential returns per unit of risk. Immofonds is currently generating about 0.27 per unit of volatility. If you would invest  56,800  in Immofonds on September 27, 2024 and sell it today you would earn a total of  2,400  from holding Immofonds or generate 4.23% return on investment over 90 days.

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

Citigroup  vs.  Immofonds

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.

Immofonds

Risk-Adjusted Performance

19 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Immofonds are ranked lower than 19 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Immofonds may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Citigroup and Immofonds

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

The idea behind Citigroup and Immofonds 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 Bonds Directory module to find actively traded corporate debentures issued by US companies.