Correlation Between Citigroup and Sber Otvetstvennye

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

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

Diversification Opportunities for Citigroup and Sber Otvetstvennye

0.51

Correlation Coefficient

Citigroup  Sber Otvetstvennye

Very weak diversification

The 3 months correlation between Citigroup and Sber is 0.51. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Sber Otvetstvennye investitsii in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sber Otvetstvennye 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 Sber Otvetstvennye. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sber Otvetstvennye has no effect on the direction of Citigroup i.e., Citigroup and Sber Otvetstvennye go up and down completely randomly.

Pair Corralation between Citigroup and Sber Otvetstvennye

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.66 times more return on investment than Sber Otvetstvennye. However, Citigroup is 1.66 times more volatile than Sber Otvetstvennye investitsii BPIRFI. It trades about 0.07 of its potential returns per unit of risk. Sber Otvetstvennye investitsii BPIRFI is currently generating about -0.01 per unit of risk. If you would invest  5,660  in Citigroup on March 14, 2024 and sell it today you would earn a total of  341.00  from holding Citigroup or generate 6.02% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Sber Otvetstvennye investitsii

Citigroup

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in July 2024.

Sber Otvetstvennye

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Sber Otvetstvennye investitsii BPIRFI has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound basic indicators, Sber Otvetstvennye is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with Citigroup and Sber Otvetstvennye

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

The idea behind Citigroup and Sber Otvetstvennye investitsii BPIRFI 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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.