Correlation Between Citigroup and Ivy Small

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

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

Diversification Opportunities for Citigroup and Ivy Small

0.72

Correlation Coefficient

Citigroup  Ivy Small

Poor diversification

The 3 months correlation between Citigroup and Ivy is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Ivy Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ivy Small Cap 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 Ivy Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ivy Small Cap has no effect on the direction of Citigroup i.e., Citigroup and Ivy Small go up and down completely randomly.

Pair Corralation between Citigroup and Ivy Small

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.35 times more return on investment than Ivy Small. However, Citigroup is 1.35 times more volatile than Ivy Small Cap. It trades about 0.08 of its potential returns per unit of risk. Ivy Small Cap is currently generating about 0.01 per unit of risk. If you would invest  6,213  in Citigroup on September 30, 2024 and sell it today you would earn a total of  887.00  from holding Citigroup or generate 14.28% return on investment over 90 days.

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

Citigroup  vs.  Ivy Small Cap

Citigroup

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 9 (%) 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.

Ivy Small Cap

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Ivy Small Cap has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong technical and fundamental indicators, Ivy Small 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 Ivy Small

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

The idea behind Citigroup and Ivy Small Cap 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.