Correlation Between Citigroup and Fundo Investimento

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

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

Diversification Opportunities for Citigroup and Fundo Investimento

-0.25

Correlation Coefficient

Citigroup  Fundo Investimento

Very good diversification

The 3 months correlation between Citigroup and Fundo is -0.25. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Fundo Investimento Imobiliario in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fundo Investimento 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 Fundo Investimento. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fundo Investimento has no effect on the direction of Citigroup i.e., Citigroup and Fundo Investimento go up and down completely randomly.

Pair Corralation between Citigroup and Fundo Investimento

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.05 times more return on investment than Fundo Investimento. However, Citigroup is 1.05 times more volatile than Fundo Investimento Imobiliario. It trades about 0.13 of its potential returns per unit of risk. Fundo Investimento Imobiliario is currently generating about -0.05 per unit of risk. If you would invest  7,090  in Citigroup on December 2, 2024 and sell it today you would earn a total of  905.00  from holding Citigroup or generate 12.76% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	98.39%
Values	Daily Returns

Citigroup  vs.  Fundo Investimento Imobiliario

Citigroup

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) 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.

Fundo Investimento

Risk-Adjusted Performance

Very Weak

Over the last 90 days Fundo Investimento Imobiliario has generated negative risk-adjusted returns adding no value to fund investors. Despite somewhat strong essential indicators, Fundo Investimento is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and Fundo Investimento

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

The idea behind Citigroup and Fundo Investimento Imobiliario 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 Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.