Correlation Between Citigroup and IDX Dynamic
Can any of the company-specific risk be diversified away by investing in both Citigroup and IDX Dynamic 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 IDX Dynamic into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and IDX Dynamic Fixed, you can compare the effects of market volatilities on Citigroup and IDX Dynamic 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 IDX Dynamic. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and IDX Dynamic.
Diversification Opportunities for Citigroup and IDX Dynamic
-0.24 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Citigroup and IDX is -0.24. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and IDX Dynamic Fixed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on IDX Dynamic Fixed 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 IDX Dynamic. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of IDX Dynamic Fixed has no effect on the direction of Citigroup i.e., Citigroup and IDX Dynamic go up and down completely randomly.
Pair Corralation between Citigroup and IDX Dynamic
Taking into account the 90-day investment horizon Citigroup is expected to generate 11.67 times more return on investment than IDX Dynamic. However, Citigroup is 11.67 times more volatile than IDX Dynamic Fixed. It trades about 0.21 of its potential returns per unit of risk. IDX Dynamic Fixed is currently generating about 0.29 per unit of risk. If you would invest 6,393 in Citigroup on August 31, 2024 and sell it today you would earn a total of 623.00 from holding Citigroup or generate 9.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. IDX Dynamic Fixed
Performance |
| Timeline |
| Citigroup |
| IDX Dynamic Fixed |
Citigroup and IDX Dynamic Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and IDX Dynamic
The main advantage of trading using opposite Citigroup and IDX Dynamic positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, IDX Dynamic 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 IDX Dynamic will offset losses from the drop in IDX Dynamic's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| IDX Dynamic vs. Valued Advisers Trust | IDX Dynamic vs. Columbia Diversified Fixed | IDX Dynamic vs. Principal Exchange Traded Funds | IDX Dynamic vs. Doubleline Etf Trust |
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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