Correlation Between Citigroup and Brookfield Office
Can any of the company-specific risk be diversified away by investing in both Citigroup and Brookfield Office 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 Brookfield Office into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Brookfield Office Properties, you can compare the effects of market volatilities on Citigroup and Brookfield Office 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 Brookfield Office. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Brookfield Office.
Diversification Opportunities for Citigroup and Brookfield Office
0.04 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Citigroup and Brookfield is 0.04. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Brookfield Office Properties in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brookfield Office 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 Brookfield Office. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brookfield Office has no effect on the direction of Citigroup i.e., Citigroup and Brookfield Office go up and down completely randomly.
Pair Corralation between Citigroup and Brookfield Office
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.54 times less return on investment than Brookfield Office. But when comparing it to its historical volatility, Citigroup is 3.2 times less risky than Brookfield Office. It trades about 0.06 of its potential returns per unit of risk. Brookfield Office Properties is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 933.00 in Brookfield Office Properties on October 12, 2024 and sell it today you would earn a total of 67.00 from holding Brookfield Office Properties or generate 7.18% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 73.94% |
| Values | Daily Returns |
Citigroup vs. Brookfield Office Properties
Performance |
| Timeline |
| Citigroup |
| Brookfield Office |
Citigroup and Brookfield Office Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Brookfield Office
The main advantage of trading using opposite Citigroup and Brookfield Office positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Brookfield Office 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 Brookfield Office will offset losses from the drop in Brookfield Office'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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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