Correlation Between Citigroup and Invesco SP
Can any of the company-specific risk be diversified away by investing in both Citigroup and Invesco SP 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 SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Invesco SP SmallCap, you can compare the effects of market volatilities on Citigroup and Invesco SP 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 SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Invesco SP.
Diversification Opportunities for Citigroup and Invesco SP
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Citigroup and Invesco is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Invesco SP SmallCap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco SP SmallCap 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 SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco SP SmallCap has no effect on the direction of Citigroup i.e., Citigroup and Invesco SP go up and down completely randomly.
Pair Corralation between Citigroup and Invesco SP
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.13 times less return on investment than Invesco SP. In addition to that, Citigroup is 1.17 times more volatile than Invesco SP SmallCap. It trades about 0.26 of its total potential returns per unit of risk. Invesco SP SmallCap is currently generating about 0.34 per unit of volatility. If you would invest 13,036 in Invesco SP SmallCap on September 1, 2024 and sell it today you would earn a total of 1,716 from holding Invesco SP SmallCap or generate 13.16% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Invesco SP SmallCap
Performance |
| Timeline |
| Citigroup |
| Invesco SP SmallCap |
Citigroup and Invesco SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Invesco SP
The main advantage of trading using opposite Citigroup and Invesco SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Invesco SP 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 SP will offset losses from the drop in Invesco SP's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Invesco SP vs. Industrial Select Sector | Invesco SP vs. Driven Brands Holdings | Invesco SP vs. iShares Industrials ETF | Invesco SP vs. iShares Transportation Average |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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