Correlation Between Citigroup and Ab Sustainable

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

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

Diversification Opportunities for Citigroup and Ab Sustainable

-0.52

Correlation Coefficient

Citigroup  Ab Sustainable

Excellent diversification

The 3 months correlation between Citigroup and SUTAX is -0.52. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Ab Sustainable Thematic in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ab Sustainable Thematic 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 Ab Sustainable. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ab Sustainable Thematic has no effect on the direction of Citigroup i.e., Citigroup and Ab Sustainable go up and down completely randomly.

Pair Corralation between Citigroup and Ab Sustainable

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.71 times more return on investment than Ab Sustainable. However, Citigroup is 1.71 times more volatile than Ab Sustainable Thematic. It trades about 0.0 of its potential returns per unit of risk. Ab Sustainable Thematic is currently generating about -0.17 per unit of risk. If you would invest  7,149  in Citigroup on October 15, 2024 and sell it today you would lose (9.00) from holding Citigroup or give up 0.13% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	94.74%
Values	Daily Returns

Citigroup  vs.  Ab Sustainable Thematic

Citigroup

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. In spite of rather uncertain fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Ab Sustainable Thematic

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Ab Sustainable Thematic has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Pair Trading with Citigroup and Ab Sustainable

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

The idea behind Citigroup and Ab Sustainable Thematic 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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.