Correlation Between Citigroup and Oakmark Select
Can any of the company-specific risk be diversified away by investing in both Citigroup and Oakmark Select 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 Oakmark Select into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Oakmark Select, you can compare the effects of market volatilities on Citigroup and Oakmark Select 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 Oakmark Select. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Oakmark Select.
Diversification Opportunities for Citigroup and Oakmark Select
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Citigroup and Oakmark is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Oakmark Select in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Oakmark Select 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 Oakmark Select. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Oakmark Select has no effect on the direction of Citigroup i.e., Citigroup and Oakmark Select go up and down completely randomly.
Pair Corralation between Citigroup and Oakmark Select
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.89 times more return on investment than Oakmark Select. However, Citigroup is 1.89 times more volatile than Oakmark Select. It trades about 0.07 of its potential returns per unit of risk. Oakmark Select is currently generating about 0.11 per unit of risk. If you would invest 6,043 in Citigroup on September 25, 2024 and sell it today you would earn a total of 876.00 from holding Citigroup or generate 14.5% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Citigroup vs. Oakmark Select
Performance |
Timeline |
Citigroup |
Oakmark Select |
Citigroup and Oakmark Select Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Citigroup and Oakmark Select
The main advantage of trading using opposite Citigroup and Oakmark Select positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Oakmark Select 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 Oakmark Select will offset losses from the drop in Oakmark Select's long position.The idea behind Citigroup and Oakmark Select 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.Oakmark Select vs. Oakmark International Fund | Oakmark Select vs. Oakmark Fund Advisor | Oakmark Select vs. Oakmark Global Select | Oakmark Select vs. Oakmark International Small |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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