Correlation Between Citigroup and Ambev SA
Can any of the company-specific risk be diversified away by investing in both Citigroup and Ambev SA 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 Ambev SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Ambev SA, you can compare the effects of market volatilities on Citigroup and Ambev SA 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 Ambev SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Ambev SA.
Diversification Opportunities for Citigroup and Ambev SA
Very good diversification
The 3 months correlation between Citigroup and Ambev is -0.24. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Ambev SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ambev SA 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 Ambev SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ambev SA has no effect on the direction of Citigroup i.e., Citigroup and Ambev SA go up and down completely randomly.
Pair Corralation between Citigroup and Ambev SA
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.85 times more return on investment than Ambev SA. However, Citigroup is 1.18 times less risky than Ambev SA. It trades about 0.07 of its potential returns per unit of risk. Ambev SA is currently generating about -0.01 per unit of risk. If you would invest 4,219 in Citigroup on September 23, 2024 and sell it today you would earn a total of 2,700 from holding Citigroup or generate 64.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 98.03% |
| Values | Daily Returns |
Citigroup vs. Ambev SA
Performance |
| Timeline |
| Citigroup |
| Ambev SA |
Citigroup and Ambev SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Ambev SA
The main advantage of trading using opposite Citigroup and Ambev SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Ambev SA 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 Ambev SA will offset losses from the drop in Ambev SA's long position.| Citigroup vs. Nu Holdings | Citigroup vs. Canadian Imperial Bank | Citigroup vs. Bank of Montreal | Citigroup vs. Bank of Nova |
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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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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