Correlation Between Citigroup and Marriott International

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

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

Diversification Opportunities for Citigroup and Marriott International

0.95

Correlation Coefficient

Citigroup  Marriott International

Almost no diversification

The 3 months correlation between Citigroup and Marriott is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Marriott International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Marriott International 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 Marriott International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Marriott International has no effect on the direction of Citigroup i.e., Citigroup and Marriott International go up and down completely randomly.

Pair Corralation between Citigroup and Marriott International

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.28 times less return on investment than Marriott International. In addition to that, Citigroup is 1.11 times more volatile than Marriott International. It trades about 0.07 of its total potential returns per unit of risk. Marriott International is currently generating about 0.1 per unit of volatility. If you would invest  13,566  in Marriott International on September 23, 2024 and sell it today you would earn a total of  13,144  from holding Marriott International or generate 96.89% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	98.03%
Values	Daily Returns

Citigroup  vs.  Marriott International

Citigroup

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of rather uncertain fundamental indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Marriott International

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Marriott International are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, Marriott International reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Marriott International

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

The idea behind Citigroup and Marriott International 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.