Correlation Between Citigroup and PT Puri

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

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

Diversification Opportunities for Citigroup and PT Puri

-0.25

Correlation Coefficient

Citigroup  PT Puri

Very good diversification

The 3 months correlation between Citigroup and KDTN is -0.25. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and PT Puri Sentul in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Puri Sentul 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 PT Puri. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Puri Sentul has no effect on the direction of Citigroup i.e., Citigroup and PT Puri go up and down completely randomly.

Pair Corralation between Citigroup and PT Puri

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.51 times more return on investment than PT Puri. However, Citigroup is 1.96 times less risky than PT Puri. It trades about 0.24 of its potential returns per unit of risk. PT Puri Sentul is currently generating about 0.01 per unit of risk. If you would invest  6,129  in Citigroup on October 20, 2024 and sell it today you would earn a total of  1,870  from holding Citigroup or generate 30.51% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	98.39%
Values	Daily Returns

Citigroup  vs.  PT Puri Sentul

Citigroup

Risk-Adjusted Performance

19 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 19 (%) 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.

PT Puri Sentul

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in PT Puri Sentul are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent forward-looking signals, PT Puri 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 PT Puri

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

The idea behind Citigroup and PT Puri Sentul 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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.