Correlation Between Citigroup and Siam City
Can any of the company-specific risk be diversified away by investing in both Citigroup and Siam City 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 Siam City into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Siam City Cement, you can compare the effects of market volatilities on Citigroup and Siam City 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 Siam City. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Siam City.
Diversification Opportunities for Citigroup and Siam City
Excellent diversification
The 3 months correlation between Citigroup and Siam is -0.56. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Siam City Cement in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam City Cement 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 Siam City. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siam City Cement has no effect on the direction of Citigroup i.e., Citigroup and Siam City go up and down completely randomly.
Pair Corralation between Citigroup and Siam City
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.9 times more return on investment than Siam City. However, Citigroup is 2.9 times more volatile than Siam City Cement. It trades about 0.41 of its potential returns per unit of risk. Siam City Cement is currently generating about -0.06 per unit of risk. If you would invest 6,994 in Citigroup on November 3, 2024 and sell it today you would earn a total of 1,149 from holding Citigroup or generate 16.43% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 91.3% |
| Values | Daily Returns |
Citigroup vs. Siam City Cement
Performance |
| Timeline |
| Citigroup |
| Siam City Cement |
Citigroup and Siam City Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Siam City
The main advantage of trading using opposite Citigroup and Siam City positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Siam City 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 Siam City will offset losses from the drop in Siam City's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Siam City vs. The Siam Cement | Siam City vs. SCB X Public | Siam City vs. Bangkok Bank Public | Siam City vs. PTT Public |
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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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