Correlation Between Citigroup and Mackenzie Core
Can any of the company-specific risk be diversified away by investing in both Citigroup and Mackenzie Core 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 Mackenzie Core into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Mackenzie Core Plus, you can compare the effects of market volatilities on Citigroup and Mackenzie Core 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 Mackenzie Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Mackenzie Core.
Diversification Opportunities for Citigroup and Mackenzie Core
-0.13 | Correlation Coefficient |
Good diversification
The 3 months correlation between Citigroup and Mackenzie is -0.13. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Mackenzie Core Plus in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mackenzie Core Plus 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 Mackenzie Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mackenzie Core Plus has no effect on the direction of Citigroup i.e., Citigroup and Mackenzie Core go up and down completely randomly.
Pair Corralation between Citigroup and Mackenzie Core
Taking into account the 90-day investment horizon Citigroup is expected to generate 6.25 times more return on investment than Mackenzie Core. However, Citigroup is 6.25 times more volatile than Mackenzie Core Plus. It trades about 0.15 of its potential returns per unit of risk. Mackenzie Core Plus is currently generating about -0.01 per unit of risk. If you would invest 6,133 in Citigroup on August 28, 2024 and sell it today you would earn a total of 842.00 from holding Citigroup or generate 13.73% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 97.67% |
| Values | Daily Returns |
Citigroup vs. Mackenzie Core Plus
Performance |
| Timeline |
| Citigroup |
| Mackenzie Core Plus |
Citigroup and Mackenzie Core Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Mackenzie Core
The main advantage of trading using opposite Citigroup and Mackenzie Core positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Mackenzie Core 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 Mackenzie Core will offset losses from the drop in Mackenzie Core's long position.The idea behind Citigroup and Mackenzie Core Plus pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Mackenzie Core vs. Mackenzie Core Plus | Mackenzie Core vs. Mackenzie Unconstrained Bond | Mackenzie Core vs. Mackenzie Floating Rate | Mackenzie Core vs. Mackenzie Canadian Short |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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