Correlation Between Citigroup and Brown Advisory
Can any of the company-specific risk be diversified away by investing in both Citigroup and Brown Advisory 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 Brown Advisory into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Brown Advisory Small Cap, you can compare the effects of market volatilities on Citigroup and Brown Advisory 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 Brown Advisory. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Brown Advisory.
Diversification Opportunities for Citigroup and Brown Advisory
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and Brown is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Brown Advisory Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brown Advisory Small 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 Brown Advisory. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brown Advisory Small has no effect on the direction of Citigroup i.e., Citigroup and Brown Advisory go up and down completely randomly.
Pair Corralation between Citigroup and Brown Advisory
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.53 times more return on investment than Brown Advisory. However, Citigroup is 1.53 times more volatile than Brown Advisory Small Cap. It trades about 0.07 of its potential returns per unit of risk. Brown Advisory Small Cap is currently generating about 0.03 per unit of risk. If you would invest 4,118 in Citigroup on August 29, 2024 and sell it today you would earn a total of 2,898 from holding Citigroup or generate 70.37% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Brown Advisory Small Cap
Performance |
| Timeline |
| Citigroup |
| Brown Advisory Small |
Citigroup and Brown Advisory Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Brown Advisory
The main advantage of trading using opposite Citigroup and Brown Advisory positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Brown Advisory 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 Brown Advisory will offset losses from the drop in Brown Advisory's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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Check out your portfolio center.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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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