Correlation Between Citigroup and Orphazyme
Can any of the company-specific risk be diversified away by investing in both Citigroup and Orphazyme 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 Orphazyme into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Orphazyme AS, you can compare the effects of market volatilities on Citigroup and Orphazyme 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 Orphazyme. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Orphazyme.
Diversification Opportunities for Citigroup and Orphazyme
Good diversification
The 3 months correlation between Citigroup and Orphazyme is -0.18. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Orphazyme AS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Orphazyme AS 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 Orphazyme. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Orphazyme AS has no effect on the direction of Citigroup i.e., Citigroup and Orphazyme go up and down completely randomly.
Pair Corralation between Citigroup and Orphazyme
Taking into account the 90-day investment horizon Citigroup is expected to generate 7.68 times less return on investment than Orphazyme. But when comparing it to its historical volatility, Citigroup is 2.68 times less risky than Orphazyme. It trades about 0.01 of its potential returns per unit of risk. Orphazyme AS is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 107,500 in Orphazyme AS on February 6, 2024 and sell it today you would earn a total of 2,200 from holding Orphazyme AS or generate 2.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Orphazyme AS
Performance |
| Timeline |
| Citigroup |
| Orphazyme AS |
Citigroup and Orphazyme Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Orphazyme
The main advantage of trading using opposite Citigroup and Orphazyme positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Orphazyme 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 Orphazyme will offset losses from the drop in Orphazyme's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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