Correlation Between Citigroup and Transamerica Large

Specify exactly 2 symbols:
Can any of the company-specific risk be diversified away by investing in both Citigroup and Transamerica Large 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 Transamerica Large into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Transamerica Large Cap, you can compare the effects of market volatilities on Citigroup and Transamerica Large 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 Transamerica Large. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Transamerica Large.

Diversification Opportunities for Citigroup and Transamerica Large

0.9
  Correlation Coefficient

Almost no diversification

The 3 months correlation between Citigroup and Transamerica is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Transamerica Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Transamerica Large Cap 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 Transamerica Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Transamerica Large Cap has no effect on the direction of Citigroup i.e., Citigroup and Transamerica Large go up and down completely randomly.

Pair Corralation between Citigroup and Transamerica Large

Taking into account the 90-day investment horizon Citigroup is expected to generate 3.13 times more return on investment than Transamerica Large. However, Citigroup is 3.13 times more volatile than Transamerica Large Cap. It trades about 0.2 of its potential returns per unit of risk. Transamerica Large Cap is currently generating about 0.17 per unit of risk. If you would invest  5,744  in Citigroup on September 10, 2024 and sell it today you would earn a total of  1,471  from holding Citigroup or generate 25.61% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Citigroup  vs.  Transamerica Large Cap

 Performance 
       Timeline  
Citigroup 

Risk-Adjusted Performance

15 of 100

 
Weak
 
Strong
Good
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.
Transamerica Large Cap 

Risk-Adjusted Performance

13 of 100

 
Weak
 
Strong
Good
Compared to the overall equity markets, risk-adjusted returns on investments in Transamerica Large Cap are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak fundamental indicators, Transamerica Large may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Citigroup and Transamerica Large Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Citigroup and Transamerica Large

The main advantage of trading using opposite Citigroup and Transamerica Large positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Transamerica Large 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 Transamerica Large will offset losses from the drop in Transamerica Large's long position.
The idea behind Citigroup and Transamerica Large Cap 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 Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.

Other Complementary Tools

Odds Of Bankruptcy
Get analysis of equity chance of financial distress in the next 2 years
Aroon Oscillator
Analyze current equity momentum using Aroon Oscillator and other momentum ratios
Stock Screener
Find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook.
Portfolio Manager
State of the art Portfolio Manager to monitor and improve performance of your invested capital
Equity Search
Search for actively traded equities including funds and ETFs from over 30 global markets