Correlation Between Fortress Transp and Citigroup

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

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

Diversification Opportunities for Fortress Transp and Citigroup

0.3

Correlation Coefficient

Fortress Transp  Citigroup

Weak diversification

The 3 months correlation between Fortress and Citigroup is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Fortress Transp Infra and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Fortress Transp 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 Fortress Transp Infra 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 Fortress Transp i.e., Fortress Transp and Citigroup go up and down completely randomly.

Pair Corralation between Fortress Transp and Citigroup

Given the investment horizon of 90 days Fortress Transp Infra is expected to generate 1.55 times more return on investment than Citigroup. However, Fortress Transp is 1.55 times more volatile than Citigroup. It trades about 0.18 of its potential returns per unit of risk. Citigroup is currently generating about 0.06 per unit of risk. If you would invest  2,094  in Fortress Transp Infra on October 11, 2024 and sell it today you would earn a total of  14,784  from holding Fortress Transp Infra or generate 706.02% return on investment over 90 days.

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

Fortress Transp Infra  vs.  Citigroup

Fortress Transp Infra

Risk-Adjusted Performance

6 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Fortress Transp Infra are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite fairly unsteady basic indicators, Fortress Transp demonstrated solid returns over the last few months and may actually be approaching a breakup point.

Citigroup

Risk-Adjusted Performance

8 of 100

Good

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

Pair Trading with Fortress Transp and Citigroup

The main advantage of trading using opposite Fortress Transp and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fortress Transp 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 Fortress Transp Infra 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.

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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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.