Correlation Between Citigroup and Valneva SE

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

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

Diversification Opportunities for Citigroup and Valneva SE

-0.89

Correlation Coefficient

Citigroup  Valneva SE

Pay attention - limited upside

The 3 months correlation between Citigroup and Valneva is -0.89. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Valneva SE ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Valneva SE ADR 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 Valneva SE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Valneva SE ADR has no effect on the direction of Citigroup i.e., Citigroup and Valneva SE go up and down completely randomly.

Pair Corralation between Citigroup and Valneva SE

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.25 times more return on investment than Valneva SE. However, Citigroup is 3.96 times less risky than Valneva SE. It trades about 0.11 of its potential returns per unit of risk. Valneva SE ADR is currently generating about -0.04 per unit of risk. If you would invest  6,980  in Citigroup on October 10, 2024 and sell it today you would earn a total of  346.00  from holding Citigroup or generate 4.96% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Valneva SE ADR

Citigroup

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 11 (%) 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.

Valneva SE ADR

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Valneva SE ADR has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of uncertain performance in the last few months, the Stock's essential indicators remain very healthy which may send shares a bit higher in February 2025. The recent disarray may also be a sign of long period up-swing for the firm investors.

Pair Trading with Citigroup and Valneva SE

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

The idea behind Citigroup and Valneva SE ADR 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 Global Correlations module to find global opportunities by holding instruments from different markets.