Correlation Between Citigroup and CITIC
Can any of the company-specific risk be diversified away by investing in both Citigroup and 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 CITIC into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and CITIC LTD ADR5, you can compare the effects of market volatilities on Citigroup and 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 CITIC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and CITIC.
Diversification Opportunities for Citigroup and CITIC
Very weak diversification
The 3 months correlation between Citigroup and CITIC is 0.57. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and CITIC LTD ADR5 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CITIC LTD ADR5 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. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CITIC LTD ADR5 has no effect on the direction of Citigroup i.e., Citigroup and CITIC go up and down completely randomly.
Pair Corralation between Citigroup and CITIC
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.97 times more return on investment than CITIC. However, Citigroup is 1.03 times less risky than CITIC. It trades about 0.26 of its potential returns per unit of risk. CITIC LTD ADR5 is currently generating about -0.05 per unit of risk. If you would invest 6,361 in Citigroup on September 1, 2024 and sell it today you would earn a total of 726.00 from holding Citigroup or generate 11.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 91.3% |
| Values | Daily Returns |
Citigroup vs. CITIC LTD ADR5
Performance |
| Timeline |
| Citigroup |
| CITIC LTD ADR5 |
Citigroup and CITIC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and CITIC
The main advantage of trading using opposite Citigroup and CITIC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, 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 CITIC will offset losses from the drop in CITIC's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| CITIC vs. Strategic Education | CITIC vs. WisdomTree Investments | CITIC vs. CHINA EDUCATION GROUP | CITIC vs. Chuangs China Investments |
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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