Correlation Between Citigroup and Curtiss Wright

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

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

Diversification Opportunities for Citigroup and Curtiss Wright

0.91

Correlation Coefficient

Citigroup  Curtiss Wright

Almost no diversification

The 3 months correlation between Citigroup and Curtiss is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Curtiss Wright in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Curtiss Wright 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 Curtiss Wright. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Curtiss Wright has no effect on the direction of Citigroup i.e., Citigroup and Curtiss Wright go up and down completely randomly.

Pair Corralation between Citigroup and Curtiss Wright

Taking into account the 90-day investment horizon Citigroup is expected to generate 129.38 times less return on investment than Curtiss Wright. In addition to that, Citigroup is 1.55 times more volatile than Curtiss Wright. It trades about 0.0 of its total potential returns per unit of risk. Curtiss Wright is currently generating about 0.1 per unit of volatility. If you would invest  25,729  in Curtiss Wright on February 3, 2024 and sell it today you would earn a total of  564.00  from holding Curtiss Wright or generate 2.19% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Curtiss Wright

Citigroup

Risk-Adjusted Performance

12 of 100

OK

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.

Curtiss Wright

Risk-Adjusted Performance

21 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Curtiss Wright are ranked lower than 21 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak basic indicators, Curtiss Wright showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Curtiss Wright

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

The idea behind Citigroup and Curtiss Wright 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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..