Correlation Between Citigroup and KGHM Polska

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

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

Diversification Opportunities for Citigroup and KGHM Polska

0.86

Correlation Coefficient

Citigroup  KGHM Polska

Very poor diversification

The 3 months correlation between Citigroup and KGHM is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and KGHM Polska Miedz in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on KGHM Polska Miedz 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 KGHM Polska. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of KGHM Polska Miedz has no effect on the direction of Citigroup i.e., Citigroup and KGHM Polska go up and down completely randomly.

Pair Corralation between Citigroup and KGHM Polska

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.0 times less return on investment than KGHM Polska. But when comparing it to its historical volatility, Citigroup is 2.11 times less risky than KGHM Polska. It trades about 0.07 of its potential returns per unit of risk. KGHM Polska Miedz is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest  2,890  in KGHM Polska Miedz on September 19, 2024 and sell it today you would earn a total of  999.00  from holding KGHM Polska Miedz or generate 34.57% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	35.89%
Values	Daily Returns

Citigroup  vs.  KGHM Polska Miedz

Citigroup

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in January 2025.

KGHM Polska Miedz

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Citigroup and KGHM Polska

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

The idea behind Citigroup and KGHM Polska Miedz 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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.