Correlation Between Citigroup and PIMCO Mortgage
Can any of the company-specific risk be diversified away by investing in both Citigroup and PIMCO Mortgage 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 PIMCO Mortgage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and PIMCO Mortgage Backed Securities, you can compare the effects of market volatilities on Citigroup and PIMCO Mortgage 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 PIMCO Mortgage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and PIMCO Mortgage.
Diversification Opportunities for Citigroup and PIMCO Mortgage
-0.48 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Citigroup and PIMCO is -0.48. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and PIMCO Mortgage Backed Securiti in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PIMCO Mortgage Backed 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 PIMCO Mortgage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PIMCO Mortgage Backed has no effect on the direction of Citigroup i.e., Citigroup and PIMCO Mortgage go up and down completely randomly.
Pair Corralation between Citigroup and PIMCO Mortgage
Taking into account the 90-day investment horizon Citigroup is expected to generate 5.37 times more return on investment than PIMCO Mortgage. However, Citigroup is 5.37 times more volatile than PIMCO Mortgage Backed Securities. It trades about 0.2 of its potential returns per unit of risk. PIMCO Mortgage Backed Securities is currently generating about 0.11 per unit of risk. If you would invest 6,412 in Citigroup on August 30, 2024 and sell it today you would earn a total of 604.00 from holding Citigroup or generate 9.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. PIMCO Mortgage Backed Securiti
Performance |
| Timeline |
| Citigroup |
| PIMCO Mortgage Backed |
Citigroup and PIMCO Mortgage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and PIMCO Mortgage
The main advantage of trading using opposite Citigroup and PIMCO Mortgage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, PIMCO Mortgage 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 PIMCO Mortgage will offset losses from the drop in PIMCO Mortgage's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| PIMCO Mortgage vs. Valued Advisers Trust | PIMCO Mortgage vs. Columbia Diversified Fixed | PIMCO Mortgage vs. Principal Exchange Traded Funds | PIMCO Mortgage vs. Doubleline Etf 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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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