Correlation Between Citigroup and Thai Rung

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

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

Diversification Opportunities for Citigroup and Thai Rung

0.15

Correlation Coefficient

Citigroup  Thai Rung

Average diversification

The 3 months correlation between Citigroup and Thai is 0.15. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Thai Rung Union in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thai Rung Union 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 Thai Rung. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thai Rung Union has no effect on the direction of Citigroup i.e., Citigroup and Thai Rung go up and down completely randomly.

Pair Corralation between Citigroup and Thai Rung

Taking into account the 90-day investment horizon Citigroup is expected to generate 42.84 times less return on investment than Thai Rung. But when comparing it to its historical volatility, Citigroup is 45.8 times less risky than Thai Rung. It trades about 0.08 of its potential returns per unit of risk. Thai Rung Union is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  298.00  in Thai Rung Union on October 13, 2024 and sell it today you would earn a total of  42.00  from holding Thai Rung Union or generate 14.09% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	98.6%
Values	Daily Returns

Citigroup  vs.  Thai Rung Union

Citigroup

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Thai Rung Union

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Thai Rung Union are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent basic indicators, Thai Rung is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Citigroup and Thai Rung

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

The idea behind Citigroup and Thai Rung Union 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.