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

0.28

Correlation Coefficient

UBS Group  Citigroup

Modest diversification

The 3 months correlation between UBS and Citigroup is 0.28. 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. In addition to that, UBS Group is 1.32 times more volatile than Citigroup. It trades about -0.06 of its total potential returns per unit of risk. Citigroup is currently generating about 0.07 per unit of volatility. If you would invest  6,975  in Citigroup on September 27, 2024 and sell it today you would earn a total of  125.00  from holding Citigroup or generate 1.79% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	95.45%
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 comparatively stable fundamental drivers, UBS Group is not utilizing all of its potentials. The latest stock price uproar, may contribute to short-horizon losses for the 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 uncertain fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

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 Global Correlations module to find global opportunities by holding instruments from different markets.