Correlation Between Citigroup and UBS PF

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

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

Diversification Opportunities for Citigroup and UBS PF

0.65

Correlation Coefficient

Citigroup  UBS PF

Poor diversification

The 3 months correlation between Citigroup and UBS is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and UBS PF Swiss in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on UBS PF Swiss 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 UBS PF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of UBS PF Swiss has no effect on the direction of Citigroup i.e., Citigroup and UBS PF go up and down completely randomly.

Pair Corralation between Citigroup and UBS PF

Taking into account the 90-day investment horizon Citigroup is expected to under-perform the UBS PF. But the stock apears to be less risky and, when comparing its historical volatility, Citigroup is 1.16 times less risky than UBS PF. The stock trades about -0.06 of its potential returns per unit of risk. The UBS PF Swiss is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  15,500  in UBS PF Swiss on October 7, 2024 and sell it today you would earn a total of  60.00  from holding UBS PF Swiss or generate 0.39% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	80.0%
Values	Daily Returns

Citigroup  vs.  UBS PF Swiss

Citigroup

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 9 (%) 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.

UBS PF Swiss

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in UBS PF Swiss are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly stable basic indicators, UBS PF is not utilizing all of its potentials. The latest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Pair Trading with Citigroup and UBS PF

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

The idea behind Citigroup and UBS PF Swiss 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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.