Correlation Between Citigroup and Viet Nam

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

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

Diversification Opportunities for Citigroup and Viet Nam

0.2

Correlation Coefficient

Citigroup  Viet Nam

Modest diversification

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

Pair Corralation between Citigroup and Viet Nam

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.26 times less return on investment than Viet Nam. But when comparing it to its historical volatility, Citigroup is 1.96 times less risky than Viet Nam. It trades about 0.07 of its potential returns per unit of risk. Viet Nam Construction is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  1,200,000  in Viet Nam Construction on October 7, 2024 and sell it today you would earn a total of  20,000  from holding Viet Nam Construction or generate 1.67% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	56.1%
Values	Daily Returns

Citigroup  vs.  Viet Nam Construction

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 unsteady fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Viet Nam Construction

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Viet Nam Construction are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of very unfluctuating basic indicators, Viet Nam displayed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Viet Nam

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

The idea behind Citigroup and Viet Nam Construction 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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.