Correlation Between Citigroup and Audientes
Can any of the company-specific risk be diversified away by investing in both Citigroup and Audientes 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 Audientes into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Audientes AS, you can compare the effects of market volatilities on Citigroup and Audientes 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 Audientes. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Audientes.
Diversification Opportunities for Citigroup and Audientes
Poor diversification
The 3 months correlation between Citigroup and Audientes is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Audientes AS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Audientes AS 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 Audientes. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Audientes AS has no effect on the direction of Citigroup i.e., Citigroup and Audientes go up and down completely randomly.
Pair Corralation between Citigroup and Audientes
Taking into account the 90-day investment horizon Citigroup is expected to generate 4.43 times less return on investment than Audientes. But when comparing it to its historical volatility, Citigroup is 5.48 times less risky than Audientes. It trades about 0.26 of its potential returns per unit of risk. Audientes AS is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 1.52 in Audientes AS on September 1, 2024 and sell it today you would earn a total of 0.70 from holding Audientes AS or generate 46.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Citigroup vs. Audientes AS
Performance |
| Timeline |
| Citigroup |
| Audientes AS |
Citigroup and Audientes Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Audientes
The main advantage of trading using opposite Citigroup and Audientes positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Audientes 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 Audientes will offset losses from the drop in Audientes' long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Audientes vs. Upsales Technology AB | Audientes vs. Catena Media plc | Audientes vs. Axfood AB | Audientes vs. FormPipe Software AB |
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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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