Correlation Between Citigroup and Old Mutual
Can any of the company-specific risk be diversified away by investing in both Citigroup and Old Mutual 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 Old Mutual into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Old Mutual, you can compare the effects of market volatilities on Citigroup and Old Mutual 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 Old Mutual. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Old Mutual.
Diversification Opportunities for Citigroup and Old Mutual
0.38 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Citigroup and Old is 0.38. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Old Mutual in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Old Mutual 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 Old Mutual. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Old Mutual has no effect on the direction of Citigroup i.e., Citigroup and Old Mutual go up and down completely randomly.
Pair Corralation between Citigroup and Old Mutual
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.02 times more return on investment than Old Mutual. However, Citigroup is 1.02 times more volatile than Old Mutual. It trades about 0.11 of its potential returns per unit of risk. Old Mutual is currently generating about 0.04 per unit of risk. If you would invest 4,676 in Citigroup on September 2, 2024 and sell it today you would earn a total of 2,411 from holding Citigroup or generate 51.56% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 99.19% |
| Values | Daily Returns |
Citigroup vs. Old Mutual
Performance |
| Timeline |
| Citigroup |
| Old Mutual |
Citigroup and Old Mutual Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Old Mutual
The main advantage of trading using opposite Citigroup and Old Mutual positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Old Mutual 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 Old Mutual will offset losses from the drop in Old Mutual's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Old Mutual vs. Sanlam | Old Mutual vs. Sasol Ltd Bee | Old Mutual vs. Centaur Bci Balanced | Old Mutual vs. Sabvest Capital |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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