Correlation Between Citigroup and Inventrust Properties
Can any of the company-specific risk be diversified away by investing in both Citigroup and Inventrust 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 Inventrust Properties into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Inventrust Properties Corp, you can compare the effects of market volatilities on Citigroup and Inventrust 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 Inventrust Properties. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Inventrust Properties.
Diversification Opportunities for Citigroup and Inventrust Properties
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and Inventrust is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Inventrust Properties Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Inventrust 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 Inventrust Properties. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Inventrust Properties has no effect on the direction of Citigroup i.e., Citigroup and Inventrust Properties go up and down completely randomly.
Pair Corralation between Citigroup and Inventrust Properties
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.33 times more return on investment than Inventrust Properties. However, Citigroup is 1.33 times more volatile than Inventrust Properties Corp. It trades about 0.12 of its potential returns per unit of risk. Inventrust Properties Corp is currently generating about 0.1 per unit of risk. If you would invest 4,325 in Citigroup on August 24, 2024 and sell it today you would earn a total of 2,570 from holding Citigroup or generate 59.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Inventrust Properties Corp
Performance |
| Timeline |
| Citigroup |
| Inventrust Properties |
Citigroup and Inventrust Properties Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Inventrust Properties
The main advantage of trading using opposite Citigroup and Inventrust Properties positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Inventrust 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 Inventrust Properties will offset losses from the drop in Inventrust Properties' long position.| Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Royal Bank of | Citigroup vs. JPMorgan Chase Co |
| Inventrust Properties vs. Urban Edge Properties | Inventrust Properties vs. Kite Realty Group | Inventrust Properties vs. Retail Opportunity Investments | Inventrust Properties vs. Acadia Realty Trust |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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