Correlation Between Citigroup and Virtus Tactical

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Can any of the company-specific risk be diversified away by investing in both Citigroup and Virtus Tactical 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 Virtus Tactical into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Virtus Tactical Allocation, you can compare the effects of market volatilities on Citigroup and Virtus Tactical 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 Virtus Tactical. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Virtus Tactical.

Diversification Opportunities for Citigroup and Virtus Tactical

0.84
  Correlation Coefficient

Very poor diversification

The 3 months correlation between Citigroup and Virtus is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Virtus Tactical Allocation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Virtus Tactical Allo 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 Virtus Tactical. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Virtus Tactical Allo has no effect on the direction of Citigroup i.e., Citigroup and Virtus Tactical go up and down completely randomly.

Pair Corralation between Citigroup and Virtus Tactical

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.49 times more return on investment than Virtus Tactical. However, Citigroup is 2.49 times more volatile than Virtus Tactical Allocation. It trades about 0.08 of its potential returns per unit of risk. Virtus Tactical Allocation is currently generating about 0.12 per unit of risk. If you would invest  4,112  in Citigroup on September 18, 2024 and sell it today you would earn a total of  3,037  from holding Citigroup or generate 73.86% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Citigroup  vs.  Virtus Tactical Allocation

 Performance 
       Timeline  
Citigroup 

Risk-Adjusted Performance

12 of 100

 
Weak
 
Strong
Good
Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 12 (%) 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.
Virtus Tactical Allo 

Risk-Adjusted Performance

9 of 100

 
Weak
 
Strong
OK
Compared to the overall equity markets, risk-adjusted returns on investments in Virtus Tactical Allocation are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Virtus Tactical is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Citigroup and Virtus Tactical Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Citigroup and Virtus Tactical

The main advantage of trading using opposite Citigroup and Virtus Tactical positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Virtus Tactical 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 Virtus Tactical will offset losses from the drop in Virtus Tactical's long position.
The idea behind Citigroup and Virtus Tactical Allocation 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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.

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