Correlation Between CITIGROUP and CapitaLand Investment

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

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

Diversification Opportunities for CITIGROUP and CapitaLand Investment

0.06

Correlation Coefficient

CITIGROUP  CapitaLand Investment

Significant diversification

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

Pair Corralation between CITIGROUP and CapitaLand Investment

Assuming the 90 days trading horizon CITIGROUP INC is expected to under-perform the CapitaLand Investment. But the bond apears to be less risky and, when comparing its historical volatility, CITIGROUP INC is 2.83 times less risky than CapitaLand Investment. The bond trades about -0.12 of its potential returns per unit of risk. The CapitaLand Investment Limited is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  206.00  in CapitaLand Investment Limited on September 16, 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	98.46%
Values	Daily Returns

CITIGROUP INC  vs.  CapitaLand Investment Limited

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 latest fragile performance, the Bond's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for CITIGROUP INC investors.

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.

Pair Trading with CITIGROUP and CapitaLand Investment

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

The idea behind CITIGROUP INC and CapitaLand Investment Limited 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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.