Correlation Between Citigroup and Nomura Holdings

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

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

Diversification Opportunities for Citigroup and Nomura Holdings

0.63

Correlation Coefficient

Citigroup  Nomura Holdings

Poor diversification

The 3 months correlation between Citigroup and Nomura is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Nomura Holdings ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nomura Holdings ADR 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 Nomura Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nomura Holdings ADR has no effect on the direction of Citigroup i.e., Citigroup and Nomura Holdings go up and down completely randomly.

Pair Corralation between Citigroup and Nomura Holdings

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.93 times less return on investment than Nomura Holdings. In addition to that, Citigroup is 1.03 times more volatile than Nomura Holdings ADR. It trades about 0.04 of its total potential returns per unit of risk. Nomura Holdings ADR is currently generating about 0.13 per unit of volatility. If you would invest  573.00  in Nomura Holdings ADR on December 20, 2024 and sell it today you would earn a total of  84.00  from holding Nomura Holdings ADR or generate 14.66% return on investment over 90 days.

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

Citigroup  vs.  Nomura Holdings ADR

Citigroup

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound fundamental indicators, Citigroup is not utilizing all of its potentials. The recent stock price tumult, may contribute to shorter-term losses for the shareholders.

Nomura Holdings ADR

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Nomura Holdings ADR are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak primary indicators, Nomura Holdings reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Nomura Holdings

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

The idea behind Citigroup and Nomura Holdings ADR 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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.