Correlation Between Citigroup and Pax Esg

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

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

Diversification Opportunities for Citigroup and Pax Esg

-0.45

Correlation Coefficient

Citigroup  Pax Esg

Very good diversification

The 3 months correlation between Citigroup and Pax is -0.45. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Pax Esg Beta in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pax Esg Beta 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 Pax Esg. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pax Esg Beta has no effect on the direction of Citigroup i.e., Citigroup and Pax Esg go up and down completely randomly.

Pair Corralation between Citigroup and Pax Esg

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.12 times more return on investment than Pax Esg. However, Citigroup is 1.12 times more volatile than Pax Esg Beta. It trades about 0.28 of its potential returns per unit of risk. Pax Esg Beta is currently generating about -0.1 per unit of risk. If you would invest  6,122  in Citigroup on October 25, 2024 and sell it today you would earn a total of  2,076  from holding Citigroup or generate 33.91% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	98.33%
Values	Daily Returns

Citigroup  vs.  Pax Esg Beta

Citigroup

Risk-Adjusted Performance

21 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 21 (%) 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.

Pax Esg Beta

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Pax Esg Beta has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's forward indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Citigroup and Pax Esg

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

The idea behind Citigroup and Pax Esg Beta 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.