Correlation Between Citigroup and Pimco Stocksplus

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

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

Diversification Opportunities for Citigroup and Pimco Stocksplus

0.12

Correlation Coefficient

Citigroup  Pimco Stocksplus

Average diversification

The 3 months correlation between Citigroup and Pimco is 0.12. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Pimco Stocksplus International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pimco Stocksplus Int 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 Pimco Stocksplus. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pimco Stocksplus Int has no effect on the direction of Citigroup i.e., Citigroup and Pimco Stocksplus go up and down completely randomly.

Pair Corralation between Citigroup and Pimco Stocksplus

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.29 times more return on investment than Pimco Stocksplus. However, Citigroup is 2.29 times more volatile than Pimco Stocksplus International. It trades about 0.07 of its potential returns per unit of risk. Pimco Stocksplus International is currently generating about 0.03 per unit of risk. If you would invest  6,022  in Citigroup on September 22, 2024 and sell it today you would earn a total of  897.00  from holding Citigroup or generate 14.9% return on investment over 90 days.

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

Citigroup  vs.  Pimco Stocksplus International

Citigroup

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pimco Stocksplus Int

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Pimco Stocksplus International are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Pimco Stocksplus 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 Pimco Stocksplus

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

The idea behind Citigroup and Pimco Stocksplus International 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.