Correlation Between CapitaLand Investment and CITIGROUP

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

By analyzing existing cross correlation between CapitaLand Investment Limited and CITIGROUP INC, you can compare the effects of market volatilities on CapitaLand Investment and CITIGROUP 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 CapitaLand Investment with a short position of CITIGROUP. Check out your portfolio center. Please also check ongoing floating volatility patterns of CapitaLand Investment and CITIGROUP.

Diversification Opportunities for CapitaLand Investment and CITIGROUP

0.06

Correlation Coefficient

CapitaLand Investment  CITIGROUP

Significant diversification

The 3 months correlation between CapitaLand and CITIGROUP is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding CapitaLand Investment Limited and CITIGROUP INC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CITIGROUP INC and CapitaLand Investment 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 CapitaLand Investment Limited are associated (or correlated) with CITIGROUP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CITIGROUP INC has no effect on the direction of CapitaLand Investment i.e., CapitaLand Investment and CITIGROUP go up and down completely randomly.

Pair Corralation between CapitaLand Investment and CITIGROUP

Assuming the 90 days horizon CapitaLand Investment Limited is expected to generate 2.83 times more return on investment than CITIGROUP. However, CapitaLand Investment is 2.83 times more volatile than CITIGROUP INC. It trades about -0.01 of its potential returns per unit of risk. CITIGROUP INC is currently generating about -0.1 per unit of risk. If you would invest  206.00  in CapitaLand Investment Limited on September 17, 2024 and sell it today you would lose (7.00) from holding CapitaLand Investment Limited or give up 3.4% of portfolio value over 90 days.

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

CapitaLand Investment Limited  vs.  CITIGROUP INC

CapitaLand Investment

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days CapitaLand Investment Limited has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable essential indicators, CapitaLand Investment is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

CITIGROUP INC

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days CITIGROUP INC has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, CITIGROUP is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with CapitaLand Investment and CITIGROUP

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

The idea behind CapitaLand Investment Limited and CITIGROUP INC 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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.