Correlation Between Citigroup and Yancoal Australia
Can any of the company-specific risk be diversified away by investing in both Citigroup and Yancoal Australia 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 Yancoal Australia into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Yancoal Australia, you can compare the effects of market volatilities on Citigroup and Yancoal Australia 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 Yancoal Australia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Yancoal Australia.
Diversification Opportunities for Citigroup and Yancoal Australia
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and Yancoal is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Yancoal Australia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Yancoal Australia 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 Yancoal Australia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Yancoal Australia has no effect on the direction of Citigroup i.e., Citigroup and Yancoal Australia go up and down completely randomly.
Pair Corralation between Citigroup and Yancoal Australia
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.98 times more return on investment than Yancoal Australia. However, Citigroup is 1.02 times less risky than Yancoal Australia. It trades about 0.23 of its potential returns per unit of risk. Yancoal Australia is currently generating about -0.1 per unit of risk. If you would invest 6,360 in Citigroup on August 27, 2024 and sell it today you would earn a total of 624.00 from holding Citigroup or generate 9.81% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Yancoal Australia
Performance |
| Timeline |
| Citigroup |
| Yancoal Australia |
Citigroup and Yancoal Australia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Yancoal Australia
The main advantage of trading using opposite Citigroup and Yancoal Australia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Yancoal Australia 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 Yancoal Australia will offset losses from the drop in Yancoal Australia's long position.| Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal | Citigroup vs. Bank of Nova |
| Yancoal Australia vs. Thorney Technologies | Yancoal Australia vs. Computershare | Yancoal Australia vs. Queste Communications | Yancoal Australia vs. Mach7 Technologies |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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