Correlation Between Citigroup and Brandes Emerging
Can any of the company-specific risk be diversified away by investing in both Citigroup and Brandes Emerging 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 Brandes Emerging into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Brandes Emerging Markets, you can compare the effects of market volatilities on Citigroup and Brandes Emerging 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 Brandes Emerging. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Brandes Emerging.
Diversification Opportunities for Citigroup and Brandes Emerging
0.06 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Citigroup and Brandes is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Brandes Emerging Markets in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brandes Emerging Markets 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 Brandes Emerging. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brandes Emerging Markets has no effect on the direction of Citigroup i.e., Citigroup and Brandes Emerging go up and down completely randomly.
Pair Corralation between Citigroup and Brandes Emerging
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.7 times more return on investment than Brandes Emerging. However, Citigroup is 2.7 times more volatile than Brandes Emerging Markets. It trades about 0.26 of its potential returns per unit of risk. Brandes Emerging Markets is currently generating about -0.19 per unit of risk. If you would invest 6,361 in Citigroup on September 1, 2024 and sell it today you would earn a total of 726.00 from holding Citigroup or generate 11.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Citigroup vs. Brandes Emerging Markets
Performance |
| Timeline |
| Citigroup |
| Brandes Emerging Markets |
Citigroup and Brandes Emerging Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Brandes Emerging
The main advantage of trading using opposite Citigroup and Brandes Emerging positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Brandes Emerging 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 Brandes Emerging will offset losses from the drop in Brandes Emerging's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Brandes Emerging vs. Baron Emerging Markets | Brandes Emerging vs. Brandes International Equity | Brandes Emerging vs. Guggenheim Macro Opportunities | Brandes Emerging vs. Aqr Diversified Arbitrage |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
Other Complementary Tools
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
| Money Managers Screen money managers from public funds and ETFs managed around the world | |
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Portfolio File Import Quickly import all of your third-party portfolios from your local drive in csv format | |
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum |