Correlation Between Citigroup and Gold Fields

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

Diversification Opportunities for Citigroup and Gold Fields

0.21
  Correlation Coefficient

Modest diversification

The 3 months correlation between Citigroup and Gold is 0.21. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Gold Fields Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gold Fields Limited 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 Gold Fields. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gold Fields Limited has no effect on the direction of Citigroup i.e., Citigroup and Gold Fields go up and down completely randomly.

Pair Corralation between Citigroup and Gold Fields

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.73 times more return on investment than Gold Fields. However, Citigroup is 1.36 times less risky than Gold Fields. It trades about 0.17 of its potential returns per unit of risk. Gold Fields Limited is currently generating about 0.05 per unit of risk. If you would invest  6,205  in Citigroup on September 5, 2024 and sell it today you would earn a total of  945.00  from holding Citigroup or generate 15.23% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Weak
Accuracy97.62%
ValuesDaily Returns

Citigroup  vs.  Gold Fields Limited

 Performance 
       Timeline  
Citigroup 

Risk-Adjusted Performance

11 of 100

 
Weak
 
Strong
Good
Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 11 (%) 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.
Gold Fields Limited 

Risk-Adjusted Performance

7 of 100

 
Weak
 
Strong
OK
Compared to the overall equity markets, risk-adjusted returns on investments in Gold Fields Limited are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite somewhat uncertain technical and fundamental indicators, Gold Fields sustained solid returns over the last few months and may actually be approaching a breakup point.

Citigroup and Gold Fields Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Citigroup and Gold Fields

The main advantage of trading using opposite Citigroup and Gold Fields positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Gold Fields 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 Gold Fields will offset losses from the drop in Gold Fields' long position.
The idea behind Citigroup and Gold Fields Limited 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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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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.

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