Correlation Between Citigroup and Umbra Applied
Can any of the company-specific risk be diversified away by investing in both Citigroup and Umbra Applied 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 Umbra Applied into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Umbra Applied Technologies, you can compare the effects of market volatilities on Citigroup and Umbra Applied 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 Umbra Applied. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Umbra Applied.
Diversification Opportunities for Citigroup and Umbra Applied
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and Umbra is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Umbra Applied Technologies in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Umbra Applied Techno 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 Umbra Applied. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Umbra Applied Techno has no effect on the direction of Citigroup i.e., Citigroup and Umbra Applied go up and down completely randomly.
Pair Corralation between Citigroup and Umbra Applied
Taking into account the 90-day investment horizon Citigroup is expected to generate 15.93 times less return on investment than Umbra Applied. But when comparing it to its historical volatility, Citigroup is 10.24 times less risky than Umbra Applied. It trades about 0.2 of its potential returns per unit of risk. Umbra Applied Technologies is currently generating about 0.31 of returns per unit of risk over similar time horizon. If you would invest 0.32 in Umbra Applied Technologies on September 13, 2024 and sell it today you would earn a total of 0.20 from holding Umbra Applied Technologies or generate 62.5% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Umbra Applied Technologies
Performance |
| Timeline |
| Citigroup |
| Umbra Applied Techno |
Citigroup and Umbra Applied Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Umbra Applied
The main advantage of trading using opposite Citigroup and Umbra Applied positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Umbra Applied 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 Umbra Applied will offset losses from the drop in Umbra Applied's long position.| Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal | Citigroup vs. Bank of Nova |
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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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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