Correlation Between Citigroup and NR 21

Can any of the company-specific risk be diversified away by investing in both Citigroup and NR 21 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 NR 21 into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Citigroup and NR 21 SA, you can compare the effects of market volatilities on Citigroup and NR 21 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 NR 21. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and NR 21.

Diversification Opportunities for Citigroup and NR 21

-0.64

Correlation Coefficient

Citigroup  NR 21

Excellent diversification

The 3 months correlation between Citigroup and NR21 is -0.64. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and NR 21 SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NR 21 SA 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 NR 21. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NR 21 SA has no effect on the direction of Citigroup i.e., Citigroup and NR 21 go up and down completely randomly.

Pair Corralation between Citigroup and NR 21

Taking into account the 90-day investment horizon Citigroup is expected to generate 3.98 times less return on investment than NR 21. But when comparing it to its historical volatility, Citigroup is 2.46 times less risky than NR 21. It trades about 0.07 of its potential returns per unit of risk. NR 21 SA is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  3,220  in NR 21 SA on October 15, 2024 and sell it today you would earn a total of  220.00  from holding NR 21 SA or generate 6.83% return on investment over 90 days.

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

Citigroup  vs.  NR 21 SA

Citigroup

Risk-Adjusted Performance

12 of 100

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 uncertain fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

NR 21 SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days NR 21 SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, NR 21 is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and NR 21

The main advantage of trading using opposite Citigroup and NR 21 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, NR 21 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 NR 21 will offset losses from the drop in NR 21's long position.

The idea behind Citigroup and NR 21 SA 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.

Check out your portfolio center.

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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.