Correlation Between UBS Group and Citigroup

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

By analyzing existing cross correlation between UBS Group AG and Citigroup, you can compare the effects of market volatilities on UBS Group 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 UBS Group with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of UBS Group and Citigroup.

Diversification Opportunities for UBS Group and Citigroup

0.37

Correlation Coefficient

UBS Group  Citigroup

Weak diversification

The 3 months correlation between UBS and Citigroup is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding UBS Group AG and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and UBS Group 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 UBS Group AG 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 UBS Group i.e., UBS Group and Citigroup go up and down completely randomly.

Pair Corralation between UBS Group and Citigroup

Considering the 90-day investment horizon UBS Group AG is expected to under-perform the Citigroup. But the stock apears to be less risky and, when comparing its historical volatility, UBS Group AG is 1.11 times less risky than Citigroup. The stock trades about -0.39 of its potential returns per unit of risk. The Citigroup is currently generating about -0.09 of returns per unit of risk over similar time horizon. If you would invest  6,346  in Citigroup on February 1, 2024 and sell it today you would lose (213.00) from holding Citigroup or give up 3.36% of portfolio value over 90 days.

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

UBS Group AG  vs.  Citigroup

UBS Group AG

Risk-Adjusted Performance

0 of 100

Very Weak

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

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 June 2024.

Pair Trading with UBS Group and Citigroup

The main advantage of trading using opposite UBS Group and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if UBS Group 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.

The idea behind UBS Group AG and Citigroup 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 Commodity Directory module to find actively traded commodities issued by global exchanges.