Correlation Between Citigroup and Esprinet SpA

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

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

Diversification Opportunities for Citigroup and Esprinet SpA

-0.88

Correlation Coefficient

Citigroup  Esprinet SpA

Pay attention - limited upside

The 3 months correlation between Citigroup and Esprinet is -0.88. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Esprinet SpA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Esprinet SpA 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 Esprinet SpA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Esprinet SpA has no effect on the direction of Citigroup i.e., Citigroup and Esprinet SpA go up and down completely randomly.

Pair Corralation between Citigroup and Esprinet SpA

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.35 times more return on investment than Esprinet SpA. However, Citigroup is 2.87 times less risky than Esprinet SpA. It trades about 0.23 of its potential returns per unit of risk. Esprinet SpA is currently generating about -0.06 per unit of risk. If you would invest  6,860  in Citigroup on September 20, 2024 and sell it today you would earn a total of  252.00  from holding Citigroup or generate 3.67% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Significant
Accuracy	95.45%
Values	Daily Returns

Citigroup  vs.  Esprinet SpA

Citigroup

Risk-Adjusted Performance

10 of 100

Modest

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 exhibited solid returns over the last few months and may actually be approaching a breakup point.

Esprinet SpA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Esprinet SpA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite fragile performance in the last few months, the Stock's basic indicators remain nearly stable which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

Pair Trading with Citigroup and Esprinet SpA

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

The idea behind Citigroup and Esprinet SpA 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.