Correlation Between Citigroup and Darma Henwa
Can any of the company-specific risk be diversified away by investing in both Citigroup and Darma Henwa 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 Darma Henwa into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Darma Henwa Tbk, you can compare the effects of market volatilities on Citigroup and Darma Henwa 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 Darma Henwa. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Darma Henwa.
Diversification Opportunities for Citigroup and Darma Henwa
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and Darma is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Darma Henwa Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Darma Henwa Tbk 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 Darma Henwa. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Darma Henwa Tbk has no effect on the direction of Citigroup i.e., Citigroup and Darma Henwa go up and down completely randomly.
Pair Corralation between Citigroup and Darma Henwa
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.87 times less return on investment than Darma Henwa. But when comparing it to its historical volatility, Citigroup is 2.13 times less risky than Darma Henwa. It trades about 0.07 of its potential returns per unit of risk. Darma Henwa Tbk is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 5,700 in Darma Henwa Tbk on August 24, 2024 and sell it today you would earn a total of 6,300 from holding Darma Henwa Tbk or generate 110.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.56% |
| Values | Daily Returns |
Citigroup vs. Darma Henwa Tbk
Performance |
| Timeline |
| Citigroup |
| Darma Henwa Tbk |
Citigroup and Darma Henwa Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Darma Henwa
The main advantage of trading using opposite Citigroup and Darma Henwa positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Darma Henwa 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 Darma Henwa will offset losses from the drop in Darma Henwa's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Darma Henwa vs. Kedaung Indah Can | Darma Henwa vs. Langgeng Makmur Industri | Darma Henwa vs. Kabelindo Murni Tbk | Darma Henwa vs. Mustika Ratu Tbk |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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