Correlation Between Citigroup and Lazard Global

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

Diversification Opportunities for Citigroup and Lazard Global

-0.33
  Correlation Coefficient

Very good diversification

The 3 months correlation between Citigroup and Lazard is -0.33. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Lazard Global Total in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lazard Global Total 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 Lazard Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lazard Global Total has no effect on the direction of Citigroup i.e., Citigroup and Lazard Global go up and down completely randomly.

Pair Corralation between Citigroup and Lazard Global

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.67 times more return on investment than Lazard Global. However, Citigroup is 1.67 times more volatile than Lazard Global Total. It trades about 0.07 of its potential returns per unit of risk. Lazard Global Total is currently generating about 0.06 per unit of risk. If you would invest  4,134  in Citigroup on August 30, 2024 and sell it today you would earn a total of  2,882  from holding Citigroup or generate 69.71% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Citigroup  vs.  Lazard Global Total

 Performance 
       Timeline  
Citigroup 

Risk-Adjusted Performance

8 of 100

 
Weak
 
Strong
OK
Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 8 (%) 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.
Lazard Global Total 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days Lazard Global Total has generated negative risk-adjusted returns adding no value to fund investors. Despite fairly strong technical and fundamental indicators, Lazard Global is not utilizing all of its potentials. The current stock price confusion, may contribute to short-horizon losses for the traders.

Citigroup and Lazard Global Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Citigroup and Lazard Global

The main advantage of trading using opposite Citigroup and Lazard Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Lazard Global 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 Lazard Global will offset losses from the drop in Lazard Global's long position.
The idea behind Citigroup and Lazard Global Total 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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.

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