Correlation Between Citigroup and FactSet Research

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

By analyzing existing cross correlation between Citigroup and FactSet Research Systems, you can compare the effects of market volatilities on Citigroup and FactSet Research 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 FactSet Research. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and FactSet Research.

Diversification Opportunities for Citigroup and FactSet Research

-0.51

Correlation Coefficient

Citigroup  FactSet Research

Excellent diversification

The 3 months correlation between Citigroup and FactSet is -0.51. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and FactSet Research Systems in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on FactSet Research Systems 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 FactSet Research. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of FactSet Research Systems has no effect on the direction of Citigroup i.e., Citigroup and FactSet Research go up and down completely randomly.

Pair Corralation between Citigroup and FactSet Research

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.18 times more return on investment than FactSet Research. However, Citigroup is 1.18 times more volatile than FactSet Research Systems. It trades about 0.04 of its potential returns per unit of risk. FactSet Research Systems is currently generating about 0.02 per unit of risk. If you would invest  4,515  in Citigroup on January 20, 2024 and sell it today you would earn a total of  1,317  from holding Citigroup or generate 29.17% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	99.8%
Values	Daily Returns

Citigroup  vs.  FactSet Research Systems

Citigroup

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in May 2024.

FactSet Research Systems

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days FactSet Research Systems has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest weak performance, the Stock's fundamental indicators remain stable and the newest uproar on Wall Street may also be a sign of mid-term gains for the firm private investors.

Pair Trading with Citigroup and FactSet Research

The main advantage of trading using opposite Citigroup and FactSet Research positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, FactSet Research 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 FactSet Research will offset losses from the drop in FactSet Research's long position.

The idea behind Citigroup and FactSet Research Systems 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 Transaction History module to view history of all your transactions and understand their impact on performance.