Correlation Between Citigroup and KraneShares SSE

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

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

Diversification Opportunities for Citigroup and KraneShares SSE

0.4

Correlation Coefficient

Citigroup  KraneShares SSE

Very weak diversification

The 3 months correlation between Citigroup and KraneShares is 0.4. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and KraneShares SSE STAR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on KraneShares SSE STAR 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 KraneShares SSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of KraneShares SSE STAR has no effect on the direction of Citigroup i.e., Citigroup and KraneShares SSE go up and down completely randomly.

Pair Corralation between Citigroup and KraneShares SSE

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.46 times more return on investment than KraneShares SSE. However, Citigroup is 2.16 times less risky than KraneShares SSE. It trades about 0.14 of its potential returns per unit of risk. KraneShares SSE STAR is currently generating about 0.03 per unit of risk. If you would invest  3,675  in Citigroup on September 19, 2024 and sell it today you would earn a total of  3,137  from holding Citigroup or generate 85.36% return on investment over 90 days.

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

Citigroup  vs.  KraneShares SSE STAR

Citigroup

Risk-Adjusted Performance

6 of 100

OK

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.

KraneShares SSE STAR

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in KraneShares SSE STAR are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Even with relatively unsteady basic indicators, KraneShares SSE reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and KraneShares SSE

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

The idea behind Citigroup and KraneShares SSE STAR 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.