Correlation Between Valneva SE and Citigroup

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

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

Diversification Opportunities for Valneva SE and Citigroup

0.38

Correlation Coefficient

Valneva SE  Citigroup

Weak diversification

The 3 months correlation between Valneva and Citigroup is 0.38. Overlapping area represents the amount of risk that can be diversified away by holding Valneva SE ADR and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Valneva SE 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 Valneva SE ADR 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 Valneva SE i.e., Valneva SE and Citigroup go up and down completely randomly.

Pair Corralation between Valneva SE and Citigroup

Given the investment horizon of 90 days Valneva SE ADR is expected to generate 2.65 times more return on investment than Citigroup. However, Valneva SE is 2.65 times more volatile than Citigroup. It trades about 0.2 of its potential returns per unit of risk. Citigroup is currently generating about 0.04 per unit of risk. If you would invest  399.00  in Valneva SE ADR on December 20, 2024 and sell it today you would earn a total of  274.00  from holding Valneva SE ADR or generate 68.67% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	98.33%
Values	Daily Returns

Valneva SE ADR  vs.  Citigroup

Valneva SE ADR

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Valneva SE ADR are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of very uncertain essential indicators, Valneva SE displayed solid returns over the last few months and may actually be approaching a breakup point.

Citigroup

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 3 (%) 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.

Pair Trading with Valneva SE and Citigroup

The main advantage of trading using opposite Valneva SE and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Valneva SE 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 Valneva SE ADR 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 Bonds Directory module to find actively traded corporate debentures issued by US companies.