Correlation Between Citigroup and 05329WAS1

Can any of the company-specific risk be diversified away by investing in both Citigroup and 05329WAS1 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 05329WAS1 into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Citigroup and AN 24 01 AUG 31, you can compare the effects of market volatilities on Citigroup and 05329WAS1 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 05329WAS1. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and 05329WAS1.

Diversification Opportunities for Citigroup and 05329WAS1

-0.44

Correlation Coefficient

Citigroup  05329WAS1

Very good diversification

The 3 months correlation between Citigroup and 05329WAS1 is -0.44. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and AN 24 01 AUG 31 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on 05329WAS1 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 05329WAS1. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of 05329WAS1 has no effect on the direction of Citigroup i.e., Citigroup and 05329WAS1 go up and down completely randomly.

Pair Corralation between Citigroup and 05329WAS1

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.91 times more return on investment than 05329WAS1. However, Citigroup is 1.1 times less risky than 05329WAS1. It trades about -0.09 of its potential returns per unit of risk. AN 24 01 AUG 31 is currently generating about -0.11 per unit of risk. If you would invest  7,075  in Citigroup on September 24, 2024 and sell it today you would lose (156.00) from holding Citigroup or give up 2.2% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	95.24%
Values	Daily Returns

Citigroup  vs.  AN 24 01 AUG 31

Citigroup

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 9 (%) 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.

05329WAS1

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days AN 24 01 AUG 31 has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, 05329WAS1 is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and 05329WAS1

The main advantage of trading using opposite Citigroup and 05329WAS1 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, 05329WAS1 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 05329WAS1 will offset losses from the drop in 05329WAS1's long position.

The idea behind Citigroup and AN 24 01 AUG 31 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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.