Correlation Between Citigroup and Samsonite International

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

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

Diversification Opportunities for Citigroup and Samsonite International

0.44

Correlation Coefficient

Citigroup  Samsonite International

Very weak diversification

The 3 months correlation between Citigroup and Samsonite is 0.44. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Samsonite International SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Samsonite International 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 Samsonite International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Samsonite International has no effect on the direction of Citigroup i.e., Citigroup and Samsonite International go up and down completely randomly.

Pair Corralation between Citigroup and Samsonite International

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.9 times more return on investment than Samsonite International. However, Citigroup is 1.11 times less risky than Samsonite International. It trades about 0.2 of its potential returns per unit of risk. Samsonite International SA is currently generating about 0.09 per unit of risk. If you would invest  5,716  in Citigroup on September 13, 2024 and sell it today you would earn a total of  1,480  from holding Citigroup or generate 25.89% return on investment over 90 days.

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

Citigroup  vs.  Samsonite International SA

Citigroup

Risk-Adjusted Performance

15 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 15 (%) 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.

Samsonite International

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Samsonite International SA are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite nearly weak basic indicators, Samsonite International may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Citigroup and Samsonite International

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

The idea behind Citigroup and Samsonite International SA 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.

Check out your portfolio center.

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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.