Correlation Between Citigroup and Duta Pertiwi
Can any of the company-specific risk be diversified away by investing in both Citigroup and Duta Pertiwi 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 Duta Pertiwi into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Duta Pertiwi Tbk, you can compare the effects of market volatilities on Citigroup and Duta Pertiwi 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 Duta Pertiwi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Duta Pertiwi.
Diversification Opportunities for Citigroup and Duta Pertiwi
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and Duta is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Duta Pertiwi Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Duta Pertiwi 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 Duta Pertiwi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Duta Pertiwi Tbk has no effect on the direction of Citigroup i.e., Citigroup and Duta Pertiwi go up and down completely randomly.
Pair Corralation between Citigroup and Duta Pertiwi
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.77 times more return on investment than Duta Pertiwi. However, Citigroup is 1.3 times less risky than Duta Pertiwi. It trades about 0.09 of its potential returns per unit of risk. Duta Pertiwi Tbk is currently generating about -0.01 per unit of risk. If you would invest 4,350 in Citigroup on August 27, 2024 and sell it today you would earn a total of 2,634 from holding Citigroup or generate 60.55% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.98% |
| Values | Daily Returns |
Citigroup vs. Duta Pertiwi Tbk
Performance |
| Timeline |
| Citigroup |
| Duta Pertiwi Tbk |
Citigroup and Duta Pertiwi Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Duta Pertiwi
The main advantage of trading using opposite Citigroup and Duta Pertiwi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Duta Pertiwi 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 Duta Pertiwi will offset losses from the drop in Duta Pertiwi's long position.| Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal | Citigroup vs. Bank of Nova |
| Duta Pertiwi vs. Duta Anggada Realty | Duta Pertiwi vs. Intiland Development Tbk | Duta Pertiwi vs. Bhuwanatala Indah Permai | Duta Pertiwi vs. Fortune Mate Indonesia |
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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
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