Correlation Between Citigroup and Commodities Strategy

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

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

Diversification Opportunities for Citigroup and Commodities Strategy

-0.15

Correlation Coefficient

Citigroup  Commodities Strategy

Good diversification

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

Pair Corralation between Citigroup and Commodities Strategy

Taking into account the 90-day investment horizon Citigroup is expected to under-perform the Commodities Strategy. In addition to that, Citigroup is 1.61 times more volatile than Commodities Strategy Fund. It trades about -0.01 of its total potential returns per unit of risk. Commodities Strategy Fund is currently generating about 0.0 per unit of volatility. If you would invest  1,625  in Commodities Strategy Fund on September 20, 2024 and sell it today you would lose (2.00) from holding Commodities Strategy Fund or give up 0.12% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	95.45%
Values	Daily Returns

Citigroup  vs.  Commodities Strategy Fund

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.

Commodities Strategy

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Commodities Strategy Fund are ranked lower than 1 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward-looking indicators, Commodities Strategy 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 Commodities Strategy

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

The idea behind Citigroup and Commodities Strategy Fund 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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.