Correlation Between Citigroup and Invesco Markets
Can any of the company-specific risk be diversified away by investing in both Citigroup and Invesco Markets 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 Invesco Markets into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Invesco Markets II, you can compare the effects of market volatilities on Citigroup and Invesco Markets 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 Invesco Markets. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Invesco Markets.
Diversification Opportunities for Citigroup and Invesco Markets
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Citigroup and Invesco is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Invesco Markets II in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco Markets II 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 Invesco Markets. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco Markets II has no effect on the direction of Citigroup i.e., Citigroup and Invesco Markets go up and down completely randomly.
Pair Corralation between Citigroup and Invesco Markets
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.55 times less return on investment than Invesco Markets. But when comparing it to its historical volatility, Citigroup is 1.45 times less risky than Invesco Markets. It trades about 0.06 of its potential returns per unit of risk. Invesco Markets II is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 273,975 in Invesco Markets II on September 19, 2024 and sell it today you would earn a total of 221,150 from holding Invesco Markets II or generate 80.72% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 99.37% |
| Values | Daily Returns |
Citigroup vs. Invesco Markets II
Performance |
| Timeline |
| Citigroup |
| Invesco Markets II |
Citigroup and Invesco Markets Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Invesco Markets
The main advantage of trading using opposite Citigroup and Invesco Markets positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Invesco Markets 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 Invesco Markets will offset losses from the drop in Invesco Markets' long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Invesco Markets vs. Invesco MSCI Emerging | Invesco Markets vs. Invesco EURO STOXX | Invesco Markets vs. Invesco Markets Plc | Invesco Markets vs. Invesco FTSE RAFI |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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