Correlation Between Citigroup and Jardine Matheson

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

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

Diversification Opportunities for Citigroup and Jardine Matheson

-0.04

Correlation Coefficient

Citigroup  Jardine Matheson

Good diversification

The 3 months correlation between Citigroup and Jardine is -0.04. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Jardine Matheson Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jardine Matheson Holdings 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 Jardine Matheson. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jardine Matheson Holdings has no effect on the direction of Citigroup i.e., Citigroup and Jardine Matheson go up and down completely randomly.

Pair Corralation between Citigroup and Jardine Matheson

Taking into account the 90-day investment horizon Citigroup is expected to under-perform the Jardine Matheson. But the stock apears to be less risky and, when comparing its historical volatility, Citigroup is 1.26 times less risky than Jardine Matheson. The stock trades about -0.04 of its potential returns per unit of risk. The Jardine Matheson Holdings is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  4,000  in Jardine Matheson Holdings on December 1, 2024 and sell it today you would lose (42.00) from holding Jardine Matheson Holdings or give up 1.05% of portfolio value over 90 days.

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

Citigroup  vs.  Jardine Matheson Holdings

Citigroup

Risk-Adjusted Performance

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 unfluctuating fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Jardine Matheson Holdings

Risk-Adjusted Performance

Very Weak

Over the last 90 days Jardine Matheson Holdings has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable essential indicators, Jardine Matheson is not utilizing all of its potentials. The recent stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Citigroup and Jardine Matheson

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

The idea behind Citigroup and Jardine Matheson Holdings 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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.