Correlation Between Citigroup and Tweedy Browne

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

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

Diversification Opportunities for Citigroup and Tweedy Browne

0.2

Correlation Coefficient

Citigroup  Tweedy Browne

Modest diversification

The 3 months correlation between Citigroup and Tweedy is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Tweedy Browne Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tweedy Browne Value 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 Tweedy Browne. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tweedy Browne Value has no effect on the direction of Citigroup i.e., Citigroup and Tweedy Browne go up and down completely randomly.

Pair Corralation between Citigroup and Tweedy Browne

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.87 times less return on investment than Tweedy Browne. In addition to that, Citigroup is 2.97 times more volatile than Tweedy Browne Value. It trades about 0.04 of its total potential returns per unit of risk. Tweedy Browne Value is currently generating about 0.24 per unit of volatility. If you would invest  1,671  in Tweedy Browne Value on December 20, 2024 and sell it today you would earn a total of  163.00  from holding Tweedy Browne Value or generate 9.75% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Tweedy Browne Value

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.

Tweedy Browne Value

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Tweedy Browne Value are ranked lower than 18 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak fundamental drivers, Tweedy Browne may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Citigroup and Tweedy Browne

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

The idea behind Citigroup and Tweedy Browne Value 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.