Correlation Between Citigroup and CSL
Can any of the company-specific risk be diversified away by investing in both Citigroup and CSL 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 CSL into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and CSL Limited, you can compare the effects of market volatilities on Citigroup and CSL 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 CSL. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and CSL.
Diversification Opportunities for Citigroup and CSL
Excellent diversification
The 3 months correlation between Citigroup and CSL is -0.56. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and CSL Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CSL Limited 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 CSL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CSL Limited has no effect on the direction of Citigroup i.e., Citigroup and CSL go up and down completely randomly.
Pair Corralation between Citigroup and CSL
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.43 times more return on investment than CSL. However, Citigroup is 2.32 times less risky than CSL. It trades about -0.12 of its potential returns per unit of risk. CSL Limited is currently generating about -0.07 per unit of risk. If you would invest 8,051 in Citigroup on November 27, 2024 and sell it today you would lose (362.00) from holding Citigroup or give up 4.5% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 95.24% |
| Values | Daily Returns |
Citigroup vs. CSL Limited
Performance |
| Timeline |
| Citigroup |
| CSL Limited |
Citigroup and CSL Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and CSL
The main advantage of trading using opposite Citigroup and CSL positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, CSL 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 CSL will offset losses from the drop in CSL's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| CSL vs. Pmv Pharmaceuticals | CSL vs. Novo Nordisk AS | CSL vs. Kalvista Pharmaceuticals | CSL vs. ProKidney Corp |
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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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