Correlation Between Citigroup and PT Sunter

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

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

Diversification Opportunities for Citigroup and PT Sunter

0.25

Correlation Coefficient

Citigroup  PT Sunter

Modest diversification

The 3 months correlation between Citigroup and SNLK is 0.25. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and PT Sunter Lakeside in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Sunter Lakeside 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 PT Sunter. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Sunter Lakeside has no effect on the direction of Citigroup i.e., Citigroup and PT Sunter go up and down completely randomly.

Pair Corralation between Citigroup and PT Sunter

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.05 times more return on investment than PT Sunter. However, Citigroup is 1.05 times more volatile than PT Sunter Lakeside. It trades about 0.26 of its potential returns per unit of risk. PT Sunter Lakeside is currently generating about -0.47 per unit of risk. If you would invest  6,361  in Citigroup on September 1, 2024 and sell it today you would earn a total of  726.00  from holding Citigroup or generate 11.41% return on investment over 90 days.

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

Citigroup  vs.  PT Sunter Lakeside

Citigroup

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) 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.

PT Sunter Lakeside

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in PT Sunter Lakeside are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, PT Sunter disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and PT Sunter

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

The idea behind Citigroup and PT Sunter Lakeside 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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.