Correlation Between New Momentum and Citrine Global
Can any of the company-specific risk be diversified away by investing in both New Momentum and Citrine Global 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 New Momentum and Citrine Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between New Momentum and Citrine Global Corp, you can compare the effects of market volatilities on New Momentum and Citrine Global 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 New Momentum with a short position of Citrine Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of New Momentum and Citrine Global.
Diversification Opportunities for New Momentum and Citrine Global
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between New and Citrine is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding New Momentum and Citrine Global Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citrine Global Corp and New Momentum 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 New Momentum are associated (or correlated) with Citrine Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citrine Global Corp has no effect on the direction of New Momentum i.e., New Momentum and Citrine Global go up and down completely randomly.
Pair Corralation between New Momentum and Citrine Global
Given the investment horizon of 90 days New Momentum is expected to generate 1.47 times more return on investment than Citrine Global. However, New Momentum is 1.47 times more volatile than Citrine Global Corp. It trades about -0.02 of its potential returns per unit of risk. Citrine Global Corp is currently generating about -0.18 per unit of risk. If you would invest 0.09 in New Momentum on September 2, 2024 and sell it today you would lose (0.04) from holding New Momentum or give up 44.44% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 98.48% |
| Values | Daily Returns |
New Momentum vs. Citrine Global Corp
Performance |
| Timeline |
| New Momentum |
| Citrine Global Corp |
New Momentum and Citrine Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with New Momentum and Citrine Global
The main advantage of trading using opposite New Momentum and Citrine Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if New Momentum position performs unexpectedly, Citrine Global 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 Citrine Global will offset losses from the drop in Citrine Global's long position.| New Momentum vs. Amadeus IT Holding | New Momentum vs. Yatra Online | New Momentum vs. MakeMyTrip Limited | New Momentum vs. Tuniu Corp |
| Citrine Global vs. Mills Music Trust | Citrine Global vs. Blue Water Ventures | Citrine Global vs. DATA Communications Management | Citrine Global vs. Mitie Group Plc |
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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
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