Correlation Between Citigroup and Ferrum SA
Can any of the company-specific risk be diversified away by investing in both Citigroup and Ferrum SA 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 Ferrum SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Ferrum SA, you can compare the effects of market volatilities on Citigroup and Ferrum SA 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 Ferrum SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Ferrum SA.
Diversification Opportunities for Citigroup and Ferrum SA
Excellent diversification
The 3 months correlation between Citigroup and Ferrum is -0.51. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Ferrum SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ferrum SA 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 Ferrum SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ferrum SA has no effect on the direction of Citigroup i.e., Citigroup and Ferrum SA go up and down completely randomly.
Pair Corralation between Citigroup and Ferrum SA
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.76 times more return on investment than Ferrum SA. However, Citigroup is 1.32 times less risky than Ferrum SA. It trades about 0.41 of its potential returns per unit of risk. Ferrum SA is currently generating about 0.09 per unit of risk. If you would invest 6,977 in Citigroup on October 24, 2024 and sell it today you would earn a total of 1,022 from holding Citigroup or generate 14.65% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 94.74% |
| Values | Daily Returns |
Citigroup vs. Ferrum SA
Performance |
| Timeline |
| Citigroup |
| Ferrum SA |
Citigroup and Ferrum SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Ferrum SA
The main advantage of trading using opposite Citigroup and Ferrum SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Ferrum SA 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 Ferrum SA will offset losses from the drop in Ferrum SA's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
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