Correlation Between Citigroup and Brunara SA
Can any of the company-specific risk be diversified away by investing in both Citigroup and Brunara SA 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 Brunara SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Brunara SA SICAV, you can compare the effects of market volatilities on Citigroup and Brunara SA 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 Brunara SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Brunara SA.
Diversification Opportunities for Citigroup and Brunara SA
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and Brunara is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Brunara SA SICAV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brunara SA SICAV 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 Brunara SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brunara SA SICAV has no effect on the direction of Citigroup i.e., Citigroup and Brunara SA go up and down completely randomly.
Pair Corralation between Citigroup and Brunara SA
Taking into account the 90-day investment horizon Citigroup is expected to generate 4.87 times more return on investment than Brunara SA. However, Citigroup is 4.87 times more volatile than Brunara SA SICAV. It trades about 0.33 of its potential returns per unit of risk. Brunara SA SICAV is currently generating about 0.24 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 904.00 from holding Citigroup or generate 14.5% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.24% |
| Values | Daily Returns |
Citigroup vs. Brunara SA SICAV
Performance |
| Timeline |
| Citigroup |
| Brunara SA SICAV |
Citigroup and Brunara SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Brunara SA
The main advantage of trading using opposite Citigroup and Brunara SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Brunara SA 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 Brunara SA will offset losses from the drop in Brunara SA's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Brunara SA vs. BK Variable Internacional | Brunara SA vs. Naranja Renta Fija | Brunara SA vs. Indexa Ms Rentabilidad | Brunara SA vs. Myinvestor Indexado Global |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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