Correlation Between Citigroup and EPR Properties
Can any of the company-specific risk be diversified away by investing in both Citigroup and EPR Properties 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 EPR Properties into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and EPR Properties, you can compare the effects of market volatilities on Citigroup and EPR Properties 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 EPR Properties. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and EPR Properties.
Diversification Opportunities for Citigroup and EPR Properties
-0.68 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Citigroup and EPR is -0.68. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and EPR Properties in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on EPR Properties 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 EPR Properties. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of EPR Properties has no effect on the direction of Citigroup i.e., Citigroup and EPR Properties go up and down completely randomly.
Pair Corralation between Citigroup and EPR Properties
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.6 times more return on investment than EPR Properties. However, Citigroup is 1.6 times more volatile than EPR Properties. It trades about 0.21 of its potential returns per unit of risk. EPR Properties is currently generating about -0.11 per unit of risk. If you would invest 6,393 in Citigroup on August 31, 2024 and sell it today you would earn a total of 623.00 from holding Citigroup or generate 9.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. EPR Properties
Performance |
| Timeline |
| Citigroup |
| EPR Properties |
Citigroup and EPR Properties Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and EPR Properties
The main advantage of trading using opposite Citigroup and EPR Properties positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, EPR Properties 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 EPR Properties will offset losses from the drop in EPR Properties' long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| EPR Properties vs. Equinix | EPR Properties vs. Crown Castle | EPR Properties vs. American Tower Corp | EPR Properties vs. Iron Mountain Incorporated |
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 Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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