Correlation Between Citigroup and Vytrus Biotech

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

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

Diversification Opportunities for Citigroup and Vytrus Biotech

-0.08

Correlation Coefficient

Citigroup  Vytrus Biotech

Good diversification

The 3 months correlation between Citigroup and Vytrus is -0.08. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Vytrus Biotech SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vytrus Biotech SA 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 Vytrus Biotech. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vytrus Biotech SA has no effect on the direction of Citigroup i.e., Citigroup and Vytrus Biotech go up and down completely randomly.

Pair Corralation between Citigroup and Vytrus Biotech

Taking into account the 90-day investment horizon Citigroup is expected to generate 5.69 times less return on investment than Vytrus Biotech. In addition to that, Citigroup is 1.24 times more volatile than Vytrus Biotech SA. It trades about 0.04 of its total potential returns per unit of risk. Vytrus Biotech SA is currently generating about 0.26 per unit of volatility. If you would invest  220.00  in Vytrus Biotech SA on December 26, 2024 and sell it today you would earn a total of  64.00  from holding Vytrus Biotech SA or generate 29.09% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	96.83%
Values	Daily Returns

Citigroup  vs.  Vytrus Biotech SA

Citigroup

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound fundamental indicators, Citigroup is not utilizing all of its potentials. The recent stock price tumult, may contribute to shorter-term losses for the shareholders.

Vytrus Biotech SA

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Vytrus Biotech SA are ranked lower than 20 (%) of all global equities and portfolios over the last 90 days. In spite of rather unsteady basic indicators, Vytrus Biotech exhibited solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Vytrus Biotech

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

The idea behind Citigroup and Vytrus Biotech SA 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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.