Correlation Between Citigroup and IMMOFINANZ

Can any of the company-specific risk be diversified away by investing in both Citigroup and IMMOFINANZ 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 IMMOFINANZ into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Citigroup and IMMOFINANZ AG, you can compare the effects of market volatilities on Citigroup and IMMOFINANZ 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 IMMOFINANZ. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and IMMOFINANZ.

Diversification Opportunities for Citigroup and IMMOFINANZ

0.87

Correlation Coefficient

Citigroup  IMMOFINANZ

Very poor diversification

The 3 months correlation between Citigroup and IMMOFINANZ is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and IMMOFINANZ AG in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on IMMOFINANZ AG 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 IMMOFINANZ. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of IMMOFINANZ AG has no effect on the direction of Citigroup i.e., Citigroup and IMMOFINANZ go up and down completely randomly.

Pair Corralation between Citigroup and IMMOFINANZ

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.18 times more return on investment than IMMOFINANZ. However, Citigroup is 1.18 times more volatile than IMMOFINANZ AG. It trades about 0.19 of its potential returns per unit of risk. IMMOFINANZ AG is currently generating about 0.04 per unit of risk. If you would invest  6,043  in Citigroup on February 21, 2024 and sell it today you would earn a total of  273.00  from holding Citigroup or generate 4.52% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	95.24%
Values	Daily Returns

Citigroup  vs.  IMMOFINANZ AG

Citigroup

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

IMMOFINANZ AG

Risk-Adjusted Performance

18 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in IMMOFINANZ AG are ranked lower than 18 (%) of all global equities and portfolios over the last 90 days. Despite fairly inconsistent basic indicators, IMMOFINANZ demonstrated solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and IMMOFINANZ

The main advantage of trading using opposite Citigroup and IMMOFINANZ positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, IMMOFINANZ 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 IMMOFINANZ will offset losses from the drop in IMMOFINANZ's long position.

The idea behind Citigroup and IMMOFINANZ AG 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.

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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.