Correlation Between Citigroup and Penta Ocean

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

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

Diversification Opportunities for Citigroup and Penta Ocean

-0.15

Correlation Coefficient

Citigroup  Penta Ocean

Good diversification

The 3 months correlation between Citigroup and Penta is -0.15. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Penta Ocean Construction Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Penta Ocean Construc 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 Penta Ocean. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Penta Ocean Construc has no effect on the direction of Citigroup i.e., Citigroup and Penta Ocean go up and down completely randomly.

Pair Corralation between Citigroup and Penta Ocean

Taking into account the 90-day investment horizon Citigroup is expected to generate 3.44 times less return on investment than Penta Ocean. But when comparing it to its historical volatility, Citigroup is 1.05 times less risky than Penta Ocean. It trades about 0.03 of its potential returns per unit of risk. Penta Ocean Construction Co is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  385.00  in Penta Ocean Construction Co on December 29, 2024 and sell it today you would earn a total of  52.00  from holding Penta Ocean Construction Co or generate 13.51% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	96.83%
Values	Daily Returns

Citigroup  vs.  Penta Ocean Construction Co

Citigroup

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 2 (%) 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.

Penta Ocean Construc

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Penta Ocean Construction Co are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, Penta Ocean reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Penta Ocean

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

The idea behind Citigroup and Penta Ocean Construction Co 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.