Correlation Between Citigroup and Komatsu
Can any of the company-specific risk be diversified away by investing in both Citigroup and Komatsu 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 Komatsu into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Komatsu, you can compare the effects of market volatilities on Citigroup and Komatsu 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 Komatsu. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Komatsu.
Diversification Opportunities for Citigroup and Komatsu
Poor diversification
The 3 months correlation between Citigroup and Komatsu is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Komatsu in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Komatsu 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 Komatsu. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Komatsu has no effect on the direction of Citigroup i.e., Citigroup and Komatsu go up and down completely randomly.
Pair Corralation between Citigroup and Komatsu
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.87 times more return on investment than Komatsu. However, Citigroup is 1.15 times less risky than Komatsu. It trades about 0.1 of its potential returns per unit of risk. Komatsu is currently generating about 0.0 per unit of risk. If you would invest 5,825 in Citigroup on September 12, 2024 and sell it today you would earn a total of 1,425 from holding Citigroup or generate 24.46% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 96.88% |
| Values | Daily Returns |
Citigroup vs. Komatsu
Performance |
| Timeline |
| Citigroup |
| Komatsu |
Citigroup and Komatsu Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Komatsu
The main advantage of trading using opposite Citigroup and Komatsu positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Komatsu 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 Komatsu will offset losses from the drop in Komatsu's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Komatsu vs. Gold Road Resources | Komatsu vs. Transport International Holdings | Komatsu vs. Air Transport Services | Komatsu vs. Thai Beverage Public |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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