Correlation Between Fubon Financial and Citigroup
Can any of the company-specific risk be diversified away by investing in both Fubon Financial 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 Fubon Financial and Citigroup into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Fubon Financial Holding and Citigroup, you can compare the effects of market volatilities on Fubon Financial 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 Fubon Financial with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fubon Financial and Citigroup.
Diversification Opportunities for Fubon Financial and Citigroup
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Fubon and Citigroup is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Fubon Financial Holding and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Fubon Financial 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 Fubon Financial Holding 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 Fubon Financial i.e., Fubon Financial and Citigroup go up and down completely randomly.
Pair Corralation between Fubon Financial and Citigroup
Assuming the 90 days trading horizon Fubon Financial Holding is expected to under-perform the Citigroup. But the stock apears to be less risky and, when comparing its historical volatility, Fubon Financial Holding is 1.48 times less risky than Citigroup. The stock trades about -0.21 of its potential returns per unit of risk. The Citigroup is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest 6,275 in Citigroup on January 27, 2024 and sell it today you would lose (9.00) from holding Citigroup or give up 0.14% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Fubon Financial Holding vs. Citigroup
Performance |
| Timeline |
| Fubon Financial Holding |
| Citigroup |
Fubon Financial and Citigroup Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Fubon Financial and Citigroup
The main advantage of trading using opposite Fubon Financial and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fubon Financial 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.| Fubon Financial vs. CTBC Financial Holding | Fubon Financial vs. Mega Financial Holding | Fubon Financial vs. First Financial Holding | Fubon Financial vs. Formosa Plastics Corp |
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 Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
Other Complementary Tools
| Cryptocurrency Center Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Global Correlations Find global opportunities by holding instruments from different markets | |
| Latest Portfolios Quick portfolio dashboard that showcases your latest portfolios | |
| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios |