Correlation Between Citigroup and CITIC Securities
Can any of the company-specific risk be diversified away by investing in both Citigroup and CITIC Securities 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 CITIC Securities into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and CITIC Securities Co, you can compare the effects of market volatilities on Citigroup and CITIC Securities 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 CITIC Securities. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and CITIC Securities.
Diversification Opportunities for Citigroup and CITIC Securities
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and CITIC is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and CITIC Securities Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CITIC Securities 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 CITIC Securities. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CITIC Securities has no effect on the direction of Citigroup i.e., Citigroup and CITIC Securities go up and down completely randomly.
Pair Corralation between Citigroup and CITIC Securities
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.79 times less return on investment than CITIC Securities. But when comparing it to its historical volatility, Citigroup is 4.89 times less risky than CITIC Securities. It trades about 0.08 of its potential returns per unit of risk. CITIC Securities Co is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 1,818 in CITIC Securities Co on September 12, 2024 and sell it today you would earn a total of 1,200 from holding CITIC Securities Co or generate 66.01% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.19% |
| Values | Daily Returns |
Citigroup vs. CITIC Securities Co
Performance |
| Timeline |
| Citigroup |
| CITIC Securities |
Citigroup and CITIC Securities Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and CITIC Securities
The main advantage of trading using opposite Citigroup and CITIC Securities positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, CITIC Securities 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 CITIC Securities will offset losses from the drop in CITIC Securities' long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| CITIC Securities vs. SPENN Technology AS | CITIC Securities vs. Arcane Crypto AB | CITIC Securities vs. OFX Group Ltd | CITIC Securities vs. HUMANA INC |
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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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