Correlation Between Citigroup and Virtus Kar

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

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

Diversification Opportunities for Citigroup and Virtus Kar

0.92

Correlation Coefficient

Citigroup  Virtus Kar

Almost no diversification

The 3 months correlation between Citigroup and Virtus is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Virtus Kar Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Virtus Kar Small 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 Virtus Kar. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Virtus Kar Small has no effect on the direction of Citigroup i.e., Citigroup and Virtus Kar go up and down completely randomly.

Pair Corralation between Citigroup and Virtus Kar

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.21 times more return on investment than Virtus Kar. However, Citigroup is 1.21 times more volatile than Virtus Kar Small Cap. It trades about 0.2 of its potential returns per unit of risk. Virtus Kar Small Cap is currently generating about 0.08 per unit of risk. If you would invest  6,876  in Citigroup on September 16, 2024 and sell it today you would earn a total of  225.00  from holding Citigroup or generate 3.27% 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.  Virtus Kar Small Cap

Citigroup

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 13 (%) 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.

Virtus Kar Small

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Virtus Kar Small Cap are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Virtus Kar may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Citigroup and Virtus Kar

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

The idea behind Citigroup and Virtus Kar Small Cap 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.