Correlation Between Citizens and Semtech
Can any of the company-specific risk be diversified away by investing in both Citizens and Semtech 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 Citizens and Semtech into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citizens and Semtech, you can compare the effects of market volatilities on Citizens and Semtech 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 Citizens with a short position of Semtech. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citizens and Semtech.
Diversification Opportunities for Citizens and Semtech
Average diversification
The 3 months correlation between Citizens and Semtech is 0.19. Overlapping area represents the amount of risk that can be diversified away by holding Citizens and Semtech in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Semtech and Citizens 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 Citizens are associated (or correlated) with Semtech. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Semtech has no effect on the direction of Citizens i.e., Citizens and Semtech go up and down completely randomly.
Pair Corralation between Citizens and Semtech
Considering the 90-day investment horizon Citizens is expected to generate 1.64 times less return on investment than Semtech. But when comparing it to its historical volatility, Citizens is 1.1 times less risky than Semtech. It trades about 0.05 of its potential returns per unit of risk. Semtech is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 2,746 in Semtech on September 12, 2024 and sell it today you would earn a total of 3,544 from holding Semtech or generate 129.06% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citizens vs. Semtech
Performance |
| Timeline |
| Citizens |
| Semtech |
Citizens and Semtech Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citizens and Semtech
The main advantage of trading using opposite Citizens and Semtech positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citizens position performs unexpectedly, Semtech 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 Semtech will offset losses from the drop in Semtech's long position.| Citizens vs. Lincoln National | Citizens vs. Aflac Incorporated | Citizens vs. Unum Group | Citizens vs. Manulife Financial Corp |
| Semtech vs. Power Integrations | Semtech vs. Diodes Incorporated | Semtech vs. MACOM Technology Solutions | Semtech vs. Cirrus Logic |
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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