Correlation Between Citigroup and PT Bank

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

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

Diversification Opportunities for Citigroup and PT Bank

0.14

Correlation Coefficient

Citigroup  PT Bank

Average diversification

The 3 months correlation between Citigroup and PQ9 is 0.14. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and PT Bank Mandiri in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Bank Mandiri 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 PT Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Bank Mandiri has no effect on the direction of Citigroup i.e., Citigroup and PT Bank go up and down completely randomly.

Pair Corralation between Citigroup and PT Bank

Taking into account the 90-day investment horizon Citigroup is expected to generate 3.07 times less return on investment than PT Bank. But when comparing it to its historical volatility, Citigroup is 3.33 times less risky than PT Bank. It trades about 0.03 of its potential returns per unit of risk. PT Bank Mandiri is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  32.00  in PT Bank Mandiri on December 27, 2024 and sell it today you would lose (1.00) from holding PT Bank Mandiri or give up 3.12% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	98.39%
Values	Daily Returns

Citigroup  vs.  PT Bank Mandiri

Citigroup

Risk-Adjusted Performance

Insignificant

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.

PT Bank Mandiri

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in PT Bank Mandiri are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite nearly uncertain basic indicators, PT Bank may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Citigroup and PT Bank

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

The idea behind Citigroup and PT Bank Mandiri 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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.