Correlation Between Citigroup and CTBC TIP
Can any of the company-specific risk be diversified away by investing in both Citigroup and CTBC TIP 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 CTBC TIP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and CTBC TIP Customized, you can compare the effects of market volatilities on Citigroup and CTBC TIP 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 CTBC TIP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and CTBC TIP.
Diversification Opportunities for Citigroup and CTBC TIP
Pay attention - limited upside
The 3 months correlation between Citigroup and CTBC is -0.71. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and CTBC TIP Customized in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CTBC TIP Customized 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 are associated (or correlated) with CTBC TIP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CTBC TIP Customized has no effect on the direction of Citigroup i.e., Citigroup and CTBC TIP go up and down completely randomly.
Pair Corralation between Citigroup and CTBC TIP
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.62 times more return on investment than CTBC TIP. However, Citigroup is 1.62 times more volatile than CTBC TIP Customized. It trades about 0.07 of its potential returns per unit of risk. CTBC TIP Customized is currently generating about 0.07 per unit of risk. If you would invest 4,293 in Citigroup on September 3, 2024 and sell it today you would earn a total of 2,794 from holding Citigroup or generate 65.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 54.34% |
| Values | Daily Returns |
Citigroup vs. CTBC TIP Customized
Performance |
| Timeline |
| Citigroup |
| CTBC TIP Customized |
Citigroup and CTBC TIP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and CTBC TIP
The main advantage of trading using opposite Citigroup and CTBC TIP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, CTBC TIP 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 CTBC TIP will offset losses from the drop in CTBC TIP's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| CTBC TIP vs. CTBC USD Corporate | CTBC TIP vs. CTBC 20 Year | CTBC TIP vs. CTBC Treasury 20 | CTBC TIP vs. CTBC 15 Developed |
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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