Correlation Between Caspian Services and Citigroup

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

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

Diversification Opportunities for Caspian Services and Citigroup

0.68

Correlation Coefficient

Caspian Services  Citigroup

Poor diversification

The 3 months correlation between Caspian and Citigroup is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Caspian Services and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Caspian Services 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 Caspian Services 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 has no effect on the direction of Caspian Services i.e., Caspian Services and Citigroup go up and down completely randomly.

Pair Corralation between Caspian Services and Citigroup

Given the investment horizon of 90 days Caspian Services is expected to generate 27.96 times more return on investment than Citigroup. However, Caspian Services is 27.96 times more volatile than Citigroup. It trades about 0.05 of its potential returns per unit of risk. Citigroup is currently generating about 0.06 per unit of risk. If you would invest  0.11  in Caspian Services on October 4, 2024 and sell it today you would earn a total of  0.29  from holding Caspian Services or generate 263.64% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	99.8%
Values	Daily Returns

Caspian Services  vs.  Citigroup

Caspian Services

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Caspian Services are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak basic indicators, Caspian Services showed solid returns over the last few months and may actually be approaching a breakup point.

Citigroup

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. In spite of rather unsteady fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Caspian Services and Citigroup

The main advantage of trading using opposite Caspian Services and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Caspian Services 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 Caspian Services and Citigroup 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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.