Correlation Between Citigroup and Vivendi SE

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

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

Diversification Opportunities for Citigroup and Vivendi SE

-0.65

Correlation Coefficient

Citigroup  Vivendi SE

Excellent diversification

The 3 months correlation between Citigroup and Vivendi is -0.65. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Vivendi SE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vivendi SE 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 Vivendi SE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vivendi SE has no effect on the direction of Citigroup i.e., Citigroup and Vivendi SE go up and down completely randomly.

Pair Corralation between Citigroup and Vivendi SE

Taking into account the 90-day investment horizon Citigroup is expected to generate 133.03 times less return on investment than Vivendi SE. But when comparing it to its historical volatility, Citigroup is 57.88 times less risky than Vivendi SE. It trades about 0.08 of its potential returns per unit of risk. Vivendi SE is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest  925.00  in Vivendi SE on September 27, 2024 and sell it today you would lose (325.00) from holding Vivendi SE or give up 35.14% of portfolio value over 90 days.

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

Citigroup  vs.  Vivendi SE

Citigroup

Risk-Adjusted Performance

10 of 100

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

Vivendi SE

Risk-Adjusted Performance

7 of 100

OK

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

Pair Trading with Citigroup and Vivendi SE

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

The idea behind Citigroup and Vivendi SE 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.