Correlation Between Citigroup and Satrix Resi

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

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

Diversification Opportunities for Citigroup and Satrix Resi

0.34

Correlation Coefficient

Citigroup  Satrix Resi

Weak diversification

The 3 months correlation between Citigroup and Satrix is 0.34. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Satrix Resi ETF in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Satrix Resi ETF 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 Satrix Resi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Satrix Resi ETF has no effect on the direction of Citigroup i.e., Citigroup and Satrix Resi go up and down completely randomly.

Pair Corralation between Citigroup and Satrix Resi

Taking into account the 90-day investment horizon Citigroup is expected to generate 5.56 times less return on investment than Satrix Resi. In addition to that, Citigroup is 1.15 times more volatile than Satrix Resi ETF. It trades about 0.04 of its total potential returns per unit of risk. Satrix Resi ETF is currently generating about 0.27 per unit of volatility. If you would invest  547,508  in Satrix Resi ETF on December 23, 2024 and sell it today you would earn a total of  169,992  from holding Satrix Resi ETF or generate 31.05% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	98.39%
Values	Daily Returns

Citigroup  vs.  Satrix Resi ETF

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.

Satrix Resi ETF

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Satrix Resi ETF are ranked lower than 20 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Satrix Resi sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Satrix Resi

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

The idea behind Citigroup and Satrix Resi ETF 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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.