Correlation Between Citigroup and BAKRIE SUMATERA
Can any of the company-specific risk be diversified away by investing in both Citigroup and BAKRIE SUMATERA 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 BAKRIE SUMATERA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and BAKRIE SUMATERA PL, you can compare the effects of market volatilities on Citigroup and BAKRIE SUMATERA 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 BAKRIE SUMATERA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and BAKRIE SUMATERA.
Diversification Opportunities for Citigroup and BAKRIE SUMATERA
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and BAKRIE is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and BAKRIE SUMATERA PL in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BAKRIE SUMATERA PL 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 BAKRIE SUMATERA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BAKRIE SUMATERA PL has no effect on the direction of Citigroup i.e., Citigroup and BAKRIE SUMATERA go up and down completely randomly.
Pair Corralation between Citigroup and BAKRIE SUMATERA
Taking into account the 90-day investment horizon Citigroup is expected to generate 4.98 times less return on investment than BAKRIE SUMATERA. But when comparing it to its historical volatility, Citigroup is 5.52 times less risky than BAKRIE SUMATERA. It trades about 0.07 of its potential returns per unit of risk. BAKRIE SUMATERA PL is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 0.90 in BAKRIE SUMATERA PL on September 3, 2024 and sell it today you would earn a total of 0.30 from holding BAKRIE SUMATERA PL or generate 33.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 96.9% |
| Values | Daily Returns |
Citigroup vs. BAKRIE SUMATERA PL
Performance |
| Timeline |
| Citigroup |
| BAKRIE SUMATERA PL |
Citigroup and BAKRIE SUMATERA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and BAKRIE SUMATERA
The main advantage of trading using opposite Citigroup and BAKRIE SUMATERA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, BAKRIE SUMATERA 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 BAKRIE SUMATERA will offset losses from the drop in BAKRIE SUMATERA's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| BAKRIE SUMATERA vs. Caltagirone SpA | BAKRIE SUMATERA vs. Unity Software | BAKRIE SUMATERA vs. MITSUBISHI STEEL MFG | BAKRIE SUMATERA vs. VITEC SOFTWARE GROUP |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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