Correlation Between Citigroup and SKAGEN Global

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

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

Diversification Opportunities for Citigroup and SKAGEN Global

0.8

Correlation Coefficient

Citigroup  SKAGEN Global

Very poor diversification

The 3 months correlation between Citigroup and SKAGEN is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and SKAGEN Global A in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SKAGEN Global A 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 SKAGEN Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SKAGEN Global A has no effect on the direction of Citigroup i.e., Citigroup and SKAGEN Global go up and down completely randomly.

Pair Corralation between Citigroup and SKAGEN Global

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.32 times more return on investment than SKAGEN Global. However, Citigroup is 2.32 times more volatile than SKAGEN Global A. It trades about -0.02 of its potential returns per unit of risk. SKAGEN Global A is currently generating about -0.17 per unit of risk. If you would invest  5,886  in Citigroup on January 19, 2024 and sell it today you would lose (54.00) from holding Citigroup or give up 0.92% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	90.91%
Values	Daily Returns

Citigroup  vs.  SKAGEN Global A

Citigroup

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

SKAGEN Global A

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in SKAGEN Global A are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong essential indicators, SKAGEN Global is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and SKAGEN Global

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

The idea behind Citigroup and SKAGEN Global A 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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.