Correlation Between Citigroup and Propert Buil

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

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

Diversification Opportunities for Citigroup and Propert Buil

0.31

Correlation Coefficient

Citigroup  Propert Buil

Weak diversification

The 3 months correlation between Citigroup and Propert is 0.31. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Propert Buil in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Propert Buil 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 Propert Buil. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Propert Buil has no effect on the direction of Citigroup i.e., Citigroup and Propert Buil go up and down completely randomly.

Pair Corralation between Citigroup and Propert Buil

Taking into account the 90-day investment horizon Citigroup is expected to under-perform the Propert Buil. But the stock apears to be less risky and, when comparing its historical volatility, Citigroup is 2.57 times less risky than Propert Buil. The stock trades about -0.03 of its potential returns per unit of risk. The Propert Buil is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  2,486,000  in Propert Buil on December 2, 2024 and sell it today you would earn a total of  124,000  from holding Propert Buil or generate 4.99% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	80.95%
Values	Daily Returns

Citigroup  vs.  Propert Buil

Citigroup

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Propert Buil

Risk-Adjusted Performance

Very Weak

Over the last 90 days Propert Buil has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Propert Buil 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 Propert Buil

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

The idea behind Citigroup and Propert Buil 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.