Correlation Between Citigroup and Pgim Securitized

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

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

Diversification Opportunities for Citigroup and Pgim Securitized

0.88

Correlation Coefficient

Citigroup  Pgim Securitized

Very poor diversification

The 3 months correlation between Citigroup and Pgim is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Pgim Securitized Credit in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pgim Securitized Credit 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 Pgim Securitized. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pgim Securitized Credit has no effect on the direction of Citigroup i.e., Citigroup and Pgim Securitized go up and down completely randomly.

Pair Corralation between Citigroup and Pgim Securitized

Taking into account the 90-day investment horizon Citigroup is expected to generate 16.1 times more return on investment than Pgim Securitized. However, Citigroup is 16.1 times more volatile than Pgim Securitized Credit. It trades about 0.16 of its potential returns per unit of risk. Pgim Securitized Credit is currently generating about 0.22 per unit of risk. If you would invest  6,209  in Citigroup on October 15, 2024 and sell it today you would earn a total of  1,068  from holding Citigroup or generate 17.2% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Pgim Securitized Credit

Citigroup

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of rather uncertain fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Pgim Securitized Credit

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Pgim Securitized Credit are ranked lower than 17 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Pgim Securitized 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 Pgim Securitized

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

The idea behind Citigroup and Pgim Securitized Credit 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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.