Correlation Between Citigroup and Saint Jean

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

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

Diversification Opportunities for Citigroup and Saint Jean

-0.27

Correlation Coefficient

Citigroup  Saint Jean

Very good diversification

The 3 months correlation between Citigroup and Saint is -0.27. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Saint Jean Carbon in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Saint Jean Carbon 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 Saint Jean. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Saint Jean Carbon has no effect on the direction of Citigroup i.e., Citigroup and Saint Jean go up and down completely randomly.

Pair Corralation between Citigroup and Saint Jean

Taking into account the 90-day investment horizon Citigroup is expected to generate 3.27 times less return on investment than Saint Jean. But when comparing it to its historical volatility, Citigroup is 6.79 times less risky than Saint Jean. It trades about 0.07 of its potential returns per unit of risk. Saint Jean Carbon is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  5.00  in Saint Jean Carbon on September 2, 2024 and sell it today you would lose (3.21) from holding Saint Jean Carbon or give up 64.2% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	99.8%
Values	Daily Returns

Citigroup  vs.  Saint Jean Carbon

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.

Saint Jean Carbon

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Saint Jean Carbon are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, Saint Jean reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Saint Jean

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

The idea behind Citigroup and Saint Jean Carbon 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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.