Correlation Between Citigroup and Ancora Indonesia

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

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

Diversification Opportunities for Citigroup and Ancora Indonesia

-0.1

Correlation Coefficient

Citigroup  Ancora Indonesia

Good diversification

The 3 months correlation between Citigroup and Ancora is -0.1. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Ancora Indonesia Resources in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ancora Indonesia Res 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 Ancora Indonesia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ancora Indonesia Res has no effect on the direction of Citigroup i.e., Citigroup and Ancora Indonesia go up and down completely randomly.

Pair Corralation between Citigroup and Ancora Indonesia

Taking into account the 90-day investment horizon Citigroup is expected to generate 8.2 times less return on investment than Ancora Indonesia. But when comparing it to its historical volatility, Citigroup is 1.41 times less risky than Ancora Indonesia. It trades about 0.01 of its potential returns per unit of risk. Ancora Indonesia Resources is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  10,000  in Ancora Indonesia Resources on December 30, 2024 and sell it today you would earn a total of  1,300  from holding Ancora Indonesia Resources or generate 13.0% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	96.77%
Values	Daily Returns

Citigroup  vs.  Ancora Indonesia Resources

Citigroup

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 1 (%) 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 newest stock price tumult, may contribute to shorter-term losses for the shareholders.

Ancora Indonesia Res

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Ancora Indonesia Resources are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Ancora Indonesia disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Ancora Indonesia

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

The idea behind Citigroup and Ancora Indonesia Resources 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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.