Correlation Between Citigroup and Sit Small

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Can any of the company-specific risk be diversified away by investing in both Citigroup and Sit Small 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 Sit Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Sit Small Cap, you can compare the effects of market volatilities on Citigroup and Sit Small 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 Sit Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Sit Small.

Diversification Opportunities for Citigroup and Sit Small

0.9
  Correlation Coefficient

Almost no diversification

The 3 months correlation between Citigroup and Sit is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Sit Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sit Small Cap 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 Sit Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sit Small Cap has no effect on the direction of Citigroup i.e., Citigroup and Sit Small go up and down completely randomly.

Pair Corralation between Citigroup and Sit Small

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.61 times more return on investment than Sit Small. However, Citigroup is 1.61 times more volatile than Sit Small Cap. It trades about 0.26 of its potential returns per unit of risk. Sit Small Cap is currently generating about 0.24 per unit of risk. If you would invest  6,361  in Citigroup on September 1, 2024 and sell it today you would earn a total of  726.00  from holding Citigroup or generate 11.41% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy95.45%
ValuesDaily Returns

Citigroup  vs.  Sit Small Cap

 Performance 
       Timeline  
Citigroup 

Risk-Adjusted Performance

10 of 100

 
Weak
 
Strong
OK
Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.
Sit Small Cap 

Risk-Adjusted Performance

12 of 100

 
Weak
 
Strong
Good
Compared to the overall equity markets, risk-adjusted returns on investments in Sit Small Cap are ranked lower than 12 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Sit Small may actually be approaching a critical reversion point that can send shares even higher in December 2024.

Citigroup and Sit Small Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Citigroup and Sit Small

The main advantage of trading using opposite Citigroup and Sit Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Sit Small 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 Sit Small will offset losses from the drop in Sit Small's long position.
The idea behind Citigroup and Sit Small Cap pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Stocks Directory module to find actively traded stocks across global markets.

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