Correlation Between Citigroup and Shenkman Floating

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

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

Diversification Opportunities for Citigroup and Shenkman Floating

0.86

Correlation Coefficient

Citigroup  Shenkman Floating

Very poor diversification

The 3 months correlation between Citigroup and Shenkman is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Shenkman Floating Rate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Shenkman Floating Rate 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 Shenkman Floating. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Shenkman Floating Rate has no effect on the direction of Citigroup i.e., Citigroup and Shenkman Floating go up and down completely randomly.

Pair Corralation between Citigroup and Shenkman Floating

Taking into account the 90-day investment horizon Citigroup is expected to generate 16.31 times more return on investment than Shenkman Floating. However, Citigroup is 16.31 times more volatile than Shenkman Floating Rate. It trades about 0.09 of its potential returns per unit of risk. Shenkman Floating Rate is currently generating about 0.11 per unit of risk. If you would invest  7,101  in Citigroup on December 4, 2024 and sell it today you would earn a total of  616.00  from holding Citigroup or generate 8.67% return on investment over 90 days.

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

Citigroup  vs.  Shenkman Floating Rate

Citigroup

Risk-Adjusted Performance

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 April 2025.

Shenkman Floating Rate

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Shenkman Floating Rate are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Shenkman Floating 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 Shenkman Floating

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

The idea behind Citigroup and Shenkman Floating Rate 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.