Correlation Between Citigroup and Semen Baturaja
Can any of the company-specific risk be diversified away by investing in both Citigroup and Semen Baturaja 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 Semen Baturaja into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Semen Baturaja Persero, you can compare the effects of market volatilities on Citigroup and Semen Baturaja 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 Semen Baturaja. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Semen Baturaja.
Diversification Opportunities for Citigroup and Semen Baturaja
-0.64 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Citigroup and Semen is -0.64. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Semen Baturaja Persero in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Semen Baturaja Persero 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 Semen Baturaja. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Semen Baturaja Persero has no effect on the direction of Citigroup i.e., Citigroup and Semen Baturaja go up and down completely randomly.
Pair Corralation between Citigroup and Semen Baturaja
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.73 times more return on investment than Semen Baturaja. However, Citigroup is 1.36 times less risky than Semen Baturaja. It trades about 0.07 of its potential returns per unit of risk. Semen Baturaja Persero is currently generating about -0.04 per unit of risk. If you would invest 4,134 in Citigroup on August 30, 2024 and sell it today you would earn a total of 2,882 from holding Citigroup or generate 69.71% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 95.56% |
| Values | Daily Returns |
Citigroup vs. Semen Baturaja Persero
Performance |
| Timeline |
| Citigroup |
| Semen Baturaja Persero |
Citigroup and Semen Baturaja Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Semen Baturaja
The main advantage of trading using opposite Citigroup and Semen Baturaja positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Semen Baturaja 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 Semen Baturaja will offset losses from the drop in Semen Baturaja'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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
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