Correlation Between Kreditbanken and Citigroup
Can any of the company-specific risk be diversified away by investing in both Kreditbanken 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 Kreditbanken and Citigroup into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Kreditbanken AS and Citigroup, you can compare the effects of market volatilities on Kreditbanken 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 Kreditbanken with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of Kreditbanken and Citigroup.
Diversification Opportunities for Kreditbanken and Citigroup
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Kreditbanken and Citigroup is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Kreditbanken AS and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Kreditbanken 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 Kreditbanken AS 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 Kreditbanken i.e., Kreditbanken and Citigroup go up and down completely randomly.
Pair Corralation between Kreditbanken and Citigroup
Assuming the 90 days trading horizon Kreditbanken is expected to generate 1.51 times less return on investment than Citigroup. But when comparing it to its historical volatility, Kreditbanken AS is 1.36 times less risky than Citigroup. It trades about 0.03 of its potential returns per unit of risk. Citigroup is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 4,784 in Citigroup on January 26, 2024 and sell it today you would earn a total of 1,463 from holding Citigroup or generate 30.58% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 99.6% |
Values | Daily Returns |
Kreditbanken AS vs. Citigroup
Performance |
Timeline |
Kreditbanken AS |
Citigroup |
Kreditbanken and Citigroup Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Kreditbanken and Citigroup
The main advantage of trading using opposite Kreditbanken and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Kreditbanken 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.Kreditbanken vs. Lollands Bank | Kreditbanken vs. Groenlandsbanken AS | Kreditbanken vs. Skjern Bank AS | Kreditbanken vs. Djurslands Bank |
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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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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