Correlation Between YPF Sociedad and Citigroup

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

By analyzing existing cross correlation between YPF Sociedad Annima and Citigroup, you can compare the effects of market volatilities on YPF Sociedad 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 YPF Sociedad with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of YPF Sociedad and Citigroup.

Diversification Opportunities for YPF Sociedad and Citigroup

0.78

Correlation Coefficient

YPF Sociedad  Citigroup

Poor diversification

The 3 months correlation between YPF and Citigroup is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding YPF Sociedad Annima and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and YPF Sociedad 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 YPF Sociedad Annima 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 YPF Sociedad i.e., YPF Sociedad and Citigroup go up and down completely randomly.

Pair Corralation between YPF Sociedad and Citigroup

Assuming the 90 days trading horizon YPF Sociedad Annima is expected to generate 2.96 times more return on investment than Citigroup. However, YPF Sociedad is 2.96 times more volatile than Citigroup. It trades about 0.08 of its potential returns per unit of risk. Citigroup is currently generating about 0.1 per unit of risk. If you would invest  21,100  in YPF Sociedad Annima on February 24, 2024 and sell it today you would earn a total of  20,465  from holding YPF Sociedad Annima or generate 96.99% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	96.39%
Values	Daily Returns

YPF Sociedad Annima  vs.  Citigroup

YPF Sociedad Annima

Risk-Adjusted Performance

0 of 100

Solid

Over the last 90 days YPF Sociedad Annima has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly weak basic indicators, YPF Sociedad showed solid returns over the last few months and may actually be approaching a breakup point.

Citigroup

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak primary indicators, Citigroup showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with YPF Sociedad and Citigroup

The main advantage of trading using opposite YPF Sociedad and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if YPF Sociedad 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.

The idea behind YPF Sociedad Annima and Citigroup 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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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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.