Correlation Between Citigroup and Philippine Seven

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

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

Diversification Opportunities for Citigroup and Philippine Seven

-0.01

Correlation Coefficient

Citigroup  Philippine Seven

Good diversification

The 3 months correlation between Citigroup and Philippine is -0.01. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Philippine Seven Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Philippine Seven Corp 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 Philippine Seven. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Philippine Seven Corp has no effect on the direction of Citigroup i.e., Citigroup and Philippine Seven go up and down completely randomly.

Pair Corralation between Citigroup and Philippine Seven

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.8 times more return on investment than Philippine Seven. However, Citigroup is 1.24 times less risky than Philippine Seven. It trades about 0.04 of its potential returns per unit of risk. Philippine Seven Corp is currently generating about -0.03 per unit of risk. If you would invest  6,929  in Citigroup on December 23, 2024 and sell it today you would earn a total of  269.00  from holding Citigroup or generate 3.88% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	98.36%
Values	Daily Returns

Citigroup  vs.  Philippine Seven Corp

Citigroup

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 3 (%) 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 recent stock price tumult, may contribute to shorter-term losses for the shareholders.

Philippine Seven Corp

Risk-Adjusted Performance

Very Weak

Over the last 90 days Philippine Seven Corp has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, Philippine Seven is not utilizing all of its potentials. The latest stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Citigroup and Philippine Seven

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

The idea behind Citigroup and Philippine Seven Corp 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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.