Correlation Between FibroGen and Citigroup

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Can any of the company-specific risk be diversified away by investing in both FibroGen and Citigroup 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 FibroGen and Citigroup into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between FibroGen and Citigroup, you can compare the effects of market volatilities on FibroGen and Citigroup 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 FibroGen with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of FibroGen and Citigroup.

Diversification Opportunities for FibroGen and Citigroup

FibroGenCitigroupDiversified AwayFibroGenCitigroupDiversified Away100%
0.48
  Correlation Coefficient

Very weak diversification

The 3 months correlation between FibroGen and Citigroup is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding FibroGen and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and FibroGen 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 FibroGen are associated (or correlated) with Citigroup. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citigroup has no effect on the direction of FibroGen i.e., FibroGen and Citigroup go up and down completely randomly.

Pair Corralation between FibroGen and Citigroup

Assuming the 90 days trading horizon FibroGen is expected to generate 3.94 times less return on investment than Citigroup. In addition to that, FibroGen is 4.18 times more volatile than Citigroup. It trades about 0.01 of its total potential returns per unit of risk. Citigroup is currently generating about 0.12 per unit of volatility. If you would invest  93,995  in Citigroup on November 26, 2024 and sell it today you would earn a total of  70,005  from holding Citigroup or generate 74.48% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

FibroGen  vs.  Citigroup

 Performance 
JavaScript chart by amCharts 3.21.15Dec2025Feb 020406080100
JavaScript chart by amCharts 3.21.15FGEN C
       Timeline  
FibroGen 

Risk-Adjusted Performance

Good

 
Weak
 
Strong
Compared to the overall equity markets, risk-adjusted returns on investments in FibroGen are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak basic indicators, FibroGen showed solid returns over the last few months and may actually be approaching a breakup point.
JavaScript chart by amCharts 3.21.15DecJanFebJanFeb789101112131415
Citigroup 

Risk-Adjusted Performance

OK

 
Weak
 
Strong
Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of fairly unfluctuating primary indicators, Citigroup showed solid returns over the last few months and may actually be approaching a breakup point.
JavaScript chart by amCharts 3.21.15DecJanFebJanFeb1,4001,4501,5001,5501,6001,6501,700

FibroGen and Citigroup Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-22.19-16.62-11.05-5.480.05.8111.9318.0424.1630.27 0.020.040.060.080.100.120.14
JavaScript chart by amCharts 3.21.15FGEN C
       Returns  

Pair Trading with FibroGen and Citigroup

The main advantage of trading using opposite FibroGen and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if FibroGen position performs unexpectedly, Citigroup 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 Citigroup will offset losses from the drop in Citigroup's long position.
The idea behind FibroGen and Citigroup pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..

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