Correlation Between Citigroup and ITM Semiconductor
Can any of the company-specific risk be diversified away by investing in both Citigroup and ITM Semiconductor 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 ITM Semiconductor into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and ITM Semiconductor Co, you can compare the effects of market volatilities on Citigroup and ITM Semiconductor 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 ITM Semiconductor. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and ITM Semiconductor.
Diversification Opportunities for Citigroup and ITM Semiconductor
-0.81 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Citigroup and ITM is -0.81. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and ITM Semiconductor Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ITM Semiconductor 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 ITM Semiconductor. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ITM Semiconductor has no effect on the direction of Citigroup i.e., Citigroup and ITM Semiconductor go up and down completely randomly.
Pair Corralation between Citigroup and ITM Semiconductor
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.5 times more return on investment than ITM Semiconductor. However, Citigroup is 2.0 times less risky than ITM Semiconductor. It trades about 0.06 of its potential returns per unit of risk. ITM Semiconductor Co is currently generating about -0.03 per unit of risk. If you would invest 4,651 in Citigroup on September 1, 2024 and sell it today you would earn a total of 2,436 from holding Citigroup or generate 52.38% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Significant |
Accuracy | 97.58% |
Values | Daily Returns |
Citigroup vs. ITM Semiconductor Co
Performance |
Timeline |
Citigroup |
ITM Semiconductor |
Citigroup and ITM Semiconductor Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Citigroup and ITM Semiconductor
The main advantage of trading using opposite Citigroup and ITM Semiconductor positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, ITM Semiconductor 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 ITM Semiconductor will offset losses from the drop in ITM Semiconductor's long position.Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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