Correlation Between Citigroup and SIS
Can any of the company-specific risk be diversified away by investing in both Citigroup and SIS 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 SIS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and SIS LIMITED, you can compare the effects of market volatilities on Citigroup and SIS 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 SIS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and SIS.
Diversification Opportunities for Citigroup and SIS
Pay attention - limited upside
The 3 months correlation between Citigroup and SIS is -0.74. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and SIS LIMITED in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SIS 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 SIS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SIS LIMITED has no effect on the direction of Citigroup i.e., Citigroup and SIS go up and down completely randomly.
Pair Corralation between Citigroup and SIS
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.91 times more return on investment than SIS. However, Citigroup is 1.1 times less risky than SIS. It trades about 0.07 of its potential returns per unit of risk. SIS LIMITED is currently generating about 0.01 per unit of risk. If you would invest 4,118 in Citigroup on August 29, 2024 and sell it today you would earn a total of 2,857 from holding Citigroup or generate 69.38% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 98.79% |
| Values | Daily Returns |
Citigroup vs. SIS LIMITED
Performance |
| Timeline |
| Citigroup |
| SIS LIMITED |
Citigroup and SIS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and SIS
The main advantage of trading using opposite Citigroup and SIS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, SIS 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 SIS will offset losses from the drop in SIS's long position.The idea behind Citigroup and SIS LIMITED 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.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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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