Correlation Between Citigroup and SBERBANK

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

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

Diversification Opportunities for Citigroup and SBERBANK

  Correlation Coefficient

Poor diversification

The 3 months correlation between Citigroup and SBERBANK is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and SBERBANK OF RUSSIA in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SBERBANK OF RUSSIA 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 SBERBANK. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SBERBANK OF RUSSIA has no effect on the direction of Citigroup i.e. Citigroup and SBERBANK go up and down completely randomly.

Pair Corralation between Citigroup and SBERBANK

Taking into account the 30 trading days horizon, Citigroup is expected to generate 1.63 times more return on investment than SBERBANK. However, Citigroup is 1.63 times more volatile than SBERBANK OF RUSSIA. It trades about 0.06 of its potential returns per unit of risk. SBERBANK OF RUSSIA is currently generating about 0.05 per unit of risk. If you would invest  4,668  in Citigroup on June 11, 2020 and sell it today you would earn a total of  597.00  from holding Citigroup or generate 12.79% return on investment over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
ValuesDaily Returns

Citigroup Inc  vs.  SBERBANK OF RUSSIA

 Performance (%) 

Citigroup Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days. Despite somewhat sluggish basic indicators, Citigroup sustained solid returns over the last few months and may actually be approaching a breakup point.

SBERBANK Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in SBERBANK OF RUSSIA are ranked lower than 3 (%) of all global equities and portfolios over the last 30 days. In spite of rather weak fundamental drivers, SBERBANK may actually be approaching a critical reversion point that can send shares even higher in August 2020.

Citigroup and SBERBANK Volatility Contrast

 Predicted Return Density 
Check out your portfolio center. Please also try Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.

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