Correlation Between Citigroup and China Citic
Can any of the company-specific risk be diversified away by investing in both Citigroup and China Citic 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 China Citic into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and China Citic Bank, you can compare the effects of market volatilities on Citigroup and China Citic 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 China Citic. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and China Citic.
Diversification Opportunities for Citigroup and China Citic
0.06 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Citigroup and China is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and China Citic Bank in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on China Citic Bank 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 China Citic. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of China Citic Bank has no effect on the direction of Citigroup i.e., Citigroup and China Citic go up and down completely randomly.
Pair Corralation between Citigroup and China Citic
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.24 times more return on investment than China Citic. However, Citigroup is 4.19 times less risky than China Citic. It trades about 0.25 of its potential returns per unit of risk. China Citic Bank is currently generating about -0.05 per unit of risk. If you would invest 6,360 in Citigroup on August 28, 2024 and sell it today you would earn a total of 715.00 from holding Citigroup or generate 11.24% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. China Citic Bank
Performance |
| Timeline |
| Citigroup |
| China Citic Bank |
Citigroup and China Citic Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and China Citic
The main advantage of trading using opposite Citigroup and China Citic positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, China Citic 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 China Citic will offset losses from the drop in China Citic's long position.| Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal | Citigroup vs. Bank of Nova |
| China Citic vs. China Everbright Bank | China Citic vs. China Merchants Bank | China Citic vs. Postal Savings Bank | China Citic vs. China Merchants Bank |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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