Correlation Between Citigroup and Digimarc
Can any of the company-specific risk be diversified away by investing in both Citigroup and Digimarc 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 Digimarc into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Digimarc, you can compare the effects of market volatilities on Citigroup and Digimarc 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 Digimarc. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Digimarc.
Diversification Opportunities for Citigroup and Digimarc
Poor diversification
The 3 months correlation between Citigroup and Digimarc is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Digimarc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Digimarc 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 Digimarc. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Digimarc has no effect on the direction of Citigroup i.e., Citigroup and Digimarc go up and down completely randomly.
Pair Corralation between Citigroup and Digimarc
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.48 times more return on investment than Digimarc. However, Citigroup is 2.07 times less risky than Digimarc. It trades about 0.12 of its potential returns per unit of risk. Digimarc is currently generating about 0.03 per unit of risk. If you would invest 4,004 in Citigroup on September 12, 2024 and sell it today you would earn a total of 3,200 from holding Citigroup or generate 79.92% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Digimarc
Performance |
| Timeline |
| Citigroup |
| Digimarc |
Citigroup and Digimarc Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Digimarc
The main advantage of trading using opposite Citigroup and Digimarc positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Digimarc 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 Digimarc will offset losses from the drop in Digimarc's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Digimarc vs. The Hackett Group | Digimarc vs. Nayax | Digimarc vs. Formula Systems 1985 | Digimarc vs. Information Services Group |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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