Correlation Between Citigroup and CIMB SP
Can any of the company-specific risk be diversified away by investing in both Citigroup and CIMB SP 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 CIMB SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and CIMB SP Ethical, you can compare the effects of market volatilities on Citigroup and CIMB SP 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 CIMB SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and CIMB SP.
Diversification Opportunities for Citigroup and CIMB SP
Poor diversification
The 3 months correlation between Citigroup and CIMB is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and CIMB SP Ethical in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CIMB SP Ethical 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 CIMB SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CIMB SP Ethical has no effect on the direction of Citigroup i.e., Citigroup and CIMB SP go up and down completely randomly.
Pair Corralation between Citigroup and CIMB SP
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.47 times more return on investment than CIMB SP. However, Citigroup is 1.47 times more volatile than CIMB SP Ethical. It trades about 0.33 of its potential returns per unit of risk. CIMB SP Ethical is currently generating about -0.01 per unit of risk. If you would invest 6,235 in Citigroup on September 4, 2024 and sell it today you would earn a total of 907.00 from holding Citigroup or generate 14.55% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Citigroup vs. CIMB SP Ethical
Performance |
| Timeline |
| Citigroup |
| CIMB SP Ethical |
Citigroup and CIMB SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and CIMB SP
The main advantage of trading using opposite Citigroup and CIMB SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, CIMB SP 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 CIMB SP will offset losses from the drop in CIMB SP's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| CIMB SP vs. iShares Govt Bond | CIMB SP vs. Amundi MSCI Europe | CIMB SP vs. iShares Global AAA AA | CIMB SP vs. iShares Smart City |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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