Correlation Between Citigroup and Immutep
Can any of the company-specific risk be diversified away by investing in both Citigroup and Immutep 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 Immutep into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Immutep Limited, you can compare the effects of market volatilities on Citigroup and Immutep 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 Immutep. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Immutep.
Diversification Opportunities for Citigroup and Immutep
Very good diversification
The 3 months correlation between Citigroup and Immutep is -0.29. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Immutep Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Immutep Limited 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 Immutep. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Immutep Limited has no effect on the direction of Citigroup i.e., Citigroup and Immutep go up and down completely randomly.
Pair Corralation between Citigroup and Immutep
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.76 times more return on investment than Immutep. However, Citigroup is 1.31 times less risky than Immutep. It trades about 0.16 of its potential returns per unit of risk. Immutep Limited is currently generating about -0.04 per unit of risk. If you would invest 6,092 in Citigroup on November 2, 2024 and sell it today you would earn a total of 2,094 from holding Citigroup or generate 34.37% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Immutep Limited
Performance |
| Timeline |
| Citigroup |
| Immutep Limited |
Citigroup and Immutep Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Immutep
The main advantage of trading using opposite Citigroup and Immutep positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Immutep 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 Immutep will offset losses from the drop in Immutep's long position.| Citigroup vs. Royal Bank of | Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Canadian Imperial Bank |
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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 Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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