Correlation Between Citigroup and SSIAM VN30

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Can any of the company-specific risk be diversified away by investing in both Citigroup and SSIAM VN30 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 SSIAM VN30 into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and SSIAM VN30 ETF, you can compare the effects of market volatilities on Citigroup and SSIAM VN30 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 SSIAM VN30. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and SSIAM VN30.

Diversification Opportunities for Citigroup and SSIAM VN30

-0.27
  Correlation Coefficient

Very good diversification

The 3 months correlation between Citigroup and SSIAM is -0.27. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and SSIAM VN30 ETF in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SSIAM VN30 ETF 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 SSIAM VN30. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SSIAM VN30 ETF has no effect on the direction of Citigroup i.e., Citigroup and SSIAM VN30 go up and down completely randomly.

Pair Corralation between Citigroup and SSIAM VN30

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.4 times more return on investment than SSIAM VN30. However, Citigroup is 2.4 times more volatile than SSIAM VN30 ETF. It trades about 0.26 of its potential returns per unit of risk. SSIAM VN30 ETF is currently generating about -0.12 per unit of risk. If you would invest  6,361  in Citigroup on September 1, 2024 and sell it today you would earn a total of  726.00  from holding Citigroup or generate 11.41% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthInsignificant
Accuracy91.3%
ValuesDaily Returns

Citigroup  vs.  SSIAM VN30 ETF

 Performance 
       Timeline  
Citigroup 

Risk-Adjusted Performance

10 of 100

 
Weak
 
Strong
OK
Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.
SSIAM VN30 ETF 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days SSIAM VN30 ETF has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, SSIAM VN30 is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Citigroup and SSIAM VN30 Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Citigroup and SSIAM VN30

The main advantage of trading using opposite Citigroup and SSIAM VN30 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, SSIAM VN30 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 SSIAM VN30 will offset losses from the drop in SSIAM VN30's long position.
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The idea behind Citigroup and SSIAM VN30 ETF pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.

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