Correlation Between Citigroup and Omeros
Can any of the company-specific risk be diversified away by investing in both Citigroup and Omeros 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 Omeros into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Omeros, you can compare the effects of market volatilities on Citigroup and Omeros 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 Omeros. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Omeros.
Diversification Opportunities for Citigroup and Omeros
Poor diversification
The 3 months correlation between Citigroup and Omeros is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Omeros in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Omeros 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 Omeros. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Omeros has no effect on the direction of Citigroup i.e., Citigroup and Omeros go up and down completely randomly.
Pair Corralation between Citigroup and Omeros
Taking into account the 90-day investment horizon Citigroup is expected to generate 7.23 times less return on investment than Omeros. But when comparing it to its historical volatility, Citigroup is 3.99 times less risky than Omeros. It trades about 0.08 of its potential returns per unit of risk. Omeros is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 347.00 in Omeros on September 2, 2024 and sell it today you would earn a total of 706.00 from holding Omeros or generate 203.46% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 96.92% |
| Values | Daily Returns |
Citigroup vs. Omeros
Performance |
| Timeline |
| Citigroup |
| Omeros |
Citigroup and Omeros Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Omeros
The main advantage of trading using opposite Citigroup and Omeros positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Omeros 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 Omeros will offset losses from the drop in Omeros' long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Omeros vs. INTERSHOP Communications Aktiengesellschaft | Omeros vs. Verizon Communications | Omeros vs. HEALTHCARE REAL A | Omeros vs. National Health Investors |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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