Correlation Between Citigroup and SCOR SE
Can any of the company-specific risk be diversified away by investing in both Citigroup and SCOR SE 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 SCOR SE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and SCOR SE, you can compare the effects of market volatilities on Citigroup and SCOR SE 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 SCOR SE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and SCOR SE.
Diversification Opportunities for Citigroup and SCOR SE
Poor diversification
The 3 months correlation between Citigroup and SCOR is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and SCOR SE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SCOR SE 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 SCOR SE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SCOR SE has no effect on the direction of Citigroup i.e., Citigroup and SCOR SE go up and down completely randomly.
Pair Corralation between Citigroup and SCOR SE
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.63 times more return on investment than SCOR SE. However, Citigroup is 1.6 times less risky than SCOR SE. It trades about 0.08 of its potential returns per unit of risk. SCOR SE is currently generating about -0.02 per unit of risk. If you would invest 4,525 in Citigroup on August 31, 2024 and sell it today you would earn a total of 2,562 from holding Citigroup or generate 56.62% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 45.99% |
| Values | Daily Returns |
Citigroup vs. SCOR SE
Performance |
| Timeline |
| Citigroup |
| SCOR SE |
Citigroup and SCOR SE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and SCOR SE
The main advantage of trading using opposite Citigroup and SCOR SE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, SCOR SE 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 SCOR SE will offset losses from the drop in SCOR SE's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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 Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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