Correlation Between Citigroup and Ellomay Capital
Can any of the company-specific risk be diversified away by investing in both Citigroup and Ellomay Capital 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 Ellomay Capital into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Ellomay Capital, you can compare the effects of market volatilities on Citigroup and Ellomay Capital 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 Ellomay Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Ellomay Capital.
Diversification Opportunities for Citigroup and Ellomay Capital
0.52 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Citigroup and Ellomay is 0.52. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Ellomay Capital in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ellomay Capital 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 Ellomay Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ellomay Capital has no effect on the direction of Citigroup i.e., Citigroup and Ellomay Capital go up and down completely randomly.
Pair Corralation between Citigroup and Ellomay Capital
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.64 times more return on investment than Ellomay Capital. However, Citigroup is 1.55 times less risky than Ellomay Capital. It trades about 0.05 of its potential returns per unit of risk. Ellomay Capital is currently generating about -0.02 per unit of risk. If you would invest 4,263 in Citigroup on January 21, 2024 and sell it today you would earn a total of 1,651 from holding Citigroup or generate 38.73% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 79.07% |
| Values | Daily Returns |
Citigroup vs. Ellomay Capital
Performance |
| Timeline |
| Citigroup |
| Ellomay Capital |
Citigroup and Ellomay Capital Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Ellomay Capital
The main advantage of trading using opposite Citigroup and Ellomay Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Ellomay Capital 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 Ellomay Capital will offset losses from the drop in Ellomay Capital's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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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 the Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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