Correlation Between Citigroup and Kedawung Setia

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

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

Diversification Opportunities for Citigroup and Kedawung Setia

0.46

Correlation Coefficient

Citigroup  Kedawung Setia

Very weak diversification

The 3 months correlation between Citigroup and Kedawung is 0.46. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Kedawung Setia Industrial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Kedawung Setia Industrial 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 Kedawung Setia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Kedawung Setia Industrial has no effect on the direction of Citigroup i.e., Citigroup and Kedawung Setia go up and down completely randomly.

Pair Corralation between Citigroup and Kedawung Setia

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.43 times more return on investment than Kedawung Setia. However, Citigroup is 2.32 times less risky than Kedawung Setia. It trades about 0.01 of its potential returns per unit of risk. Kedawung Setia Industrial is currently generating about -0.02 per unit of risk. If you would invest  6,991  in Citigroup on December 30, 2024 and sell it today you would earn a total of  42.00  from holding Citigroup or generate 0.6% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	96.77%
Values	Daily Returns

Citigroup  vs.  Kedawung Setia Industrial

Citigroup

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound fundamental indicators, Citigroup is not utilizing all of its potentials. The newest stock price tumult, may contribute to shorter-term losses for the shareholders.

Kedawung Setia Industrial

Risk-Adjusted Performance

Very Weak

Over the last 90 days Kedawung Setia Industrial has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Kedawung Setia is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Citigroup and Kedawung Setia

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

The idea behind Citigroup and Kedawung Setia Industrial 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.