Correlation Between Citigroup and Pzena International
Can any of the company-specific risk be diversified away by investing in both Citigroup and Pzena International 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 Pzena International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Pzena International Value, you can compare the effects of market volatilities on Citigroup and Pzena International 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 Pzena International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Pzena International.
Diversification Opportunities for Citigroup and Pzena International
-0.46 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Citigroup and Pzena is -0.46. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Pzena International Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pzena International Value 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 Pzena International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pzena International Value has no effect on the direction of Citigroup i.e., Citigroup and Pzena International go up and down completely randomly.
Pair Corralation between Citigroup and Pzena International
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.9 times more return on investment than Pzena International. However, Citigroup is 1.9 times more volatile than Pzena International Value. It trades about 0.07 of its potential returns per unit of risk. Pzena International Value is currently generating about 0.06 per unit of risk. If you would invest 4,218 in Citigroup on September 2, 2024 and sell it today you would earn a total of 2,869 from holding Citigroup or generate 68.02% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Very Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Citigroup vs. Pzena International Value
Performance |
Timeline |
Citigroup |
Pzena International Value |
Citigroup and Pzena International Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Citigroup and Pzena International
The main advantage of trading using opposite Citigroup and Pzena International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Pzena International 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 Pzena International will offset losses from the drop in Pzena International's long position.Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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