Correlation Between Citigroup and Univest Pennsylvania

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

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

Diversification Opportunities for Citigroup and Univest Pennsylvania

0.91

Correlation Coefficient

Citigroup  Univest Pennsylvania

Almost no diversification

The 3 months correlation between Citigroup and Univest is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Univest Pennsylvania in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Univest Pennsylvania 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 Univest Pennsylvania. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Univest Pennsylvania has no effect on the direction of Citigroup i.e., Citigroup and Univest Pennsylvania go up and down completely randomly.

Pair Corralation between Citigroup and Univest Pennsylvania

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.8 times more return on investment than Univest Pennsylvania. However, Citigroup is 1.25 times less risky than Univest Pennsylvania. It trades about 0.19 of its potential returns per unit of risk. Univest Pennsylvania is currently generating about 0.1 per unit of risk. If you would invest  5,716  in Citigroup on September 13, 2024 and sell it today you would earn a total of  1,427  from holding Citigroup or generate 24.97% return on investment over 90 days.

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

Citigroup  vs.  Univest Pennsylvania

Citigroup

Risk-Adjusted Performance

15 of 100

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.

Univest Pennsylvania

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Univest Pennsylvania are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Even with relatively fragile basic indicators, Univest Pennsylvania reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Univest Pennsylvania

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

The idea behind Citigroup and Univest Pennsylvania 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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.