Correlation Between Citigroup and BRASIL ON

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

Diversification Opportunities for Citigroup and BRASIL ON

0.32
  Correlation Coefficient

Weak diversification

The 3 months correlation between Citigroup and BRASIL is 0.32. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and BRASIL ON NM in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BRASIL ON NM 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 BRASIL ON. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BRASIL ON NM has no effect on the direction of Citigroup i.e., Citigroup and BRASIL ON go up and down completely randomly.

Pair Corralation between Citigroup and BRASIL ON

Taking into account the 90-day investment horizon Citigroup is expected to under-perform the BRASIL ON. In addition to that, Citigroup is 1.06 times more volatile than BRASIL ON NM. It trades about -0.09 of its total potential returns per unit of risk. BRASIL ON NM is currently generating about 0.08 per unit of volatility. If you would invest  2,827  in BRASIL ON NM on July 1, 2022 and sell it today you would earn a total of  1,028  from holding BRASIL ON NM or generate 36.36% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Weak
Accuracy98.8%
ValuesDaily Returns

Citigroup  vs.  BRASIL ON NM

 Performance (%) 
       Timeline  
Citigroup 
Citigroup Performance
0 of 100
Over the last 90 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong fundamental indicators, Citigroup is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Citigroup Price Channel

BRASIL ON NM 
BRASIL Performance
10 of 100
Compared to the overall equity markets, risk-adjusted returns on investments in BRASIL ON NM are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak basic indicators, BRASIL ON reported solid returns over the last few months and may actually be approaching a breakup point.

BRASIL Price Channel

Citigroup and BRASIL ON Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Citigroup and BRASIL ON

The main advantage of trading using opposite Citigroup and BRASIL ON positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, BRASIL ON 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 BRASIL ON will offset losses from the drop in BRASIL ON's long position.
Citigroup vs. Amazon Inc
The idea behind Citigroup and BRASIL ON NM 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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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 Price Transformation module to use Price Transformation models to analyze depth of different equity instruments across global markets.

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