Correlation Between Citigroup and ASML Holding
Can any of the company-specific risk be diversified away by investing in both Citigroup and ASML Holding 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 ASML Holding into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and ASML Holding NV, you can compare the effects of market volatilities on Citigroup and ASML Holding 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 ASML Holding. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and ASML Holding.
Diversification Opportunities for Citigroup and ASML Holding
-0.53 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Citigroup and ASML is -0.53. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and ASML Holding NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ASML Holding NV 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 ASML Holding. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ASML Holding NV has no effect on the direction of Citigroup i.e., Citigroup and ASML Holding go up and down completely randomly.
Pair Corralation between Citigroup and ASML Holding
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.93 times more return on investment than ASML Holding. However, Citigroup is 1.07 times less risky than ASML Holding. It trades about 0.23 of its potential returns per unit of risk. ASML Holding NV is currently generating about -0.06 per unit of risk. If you would invest 6,255 in Citigroup on August 24, 2024 and sell it today you would earn a total of 729.00 from holding Citigroup or generate 11.65% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. ASML Holding NV
Performance |
| Timeline |
| Citigroup |
| ASML Holding NV |
Citigroup and ASML Holding Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and ASML Holding
The main advantage of trading using opposite Citigroup and ASML Holding positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, ASML Holding 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 ASML Holding will offset losses from the drop in ASML Holding's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| ASML Holding vs. Adyen NV | ASML Holding vs. Prosus NV | ASML Holding vs. Koninklijke Philips NV | ASML Holding vs. Koninklijke Ahold Delhaize |
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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
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