Correlation Between Citigroup and Aqr Sustainable
Can any of the company-specific risk be diversified away by investing in both Citigroup and Aqr Sustainable 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 Aqr Sustainable into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Aqr Sustainable Long Short, you can compare the effects of market volatilities on Citigroup and Aqr Sustainable 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 Aqr Sustainable. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Aqr Sustainable.
Diversification Opportunities for Citigroup and Aqr Sustainable
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and AQR is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Aqr Sustainable Long Short in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Sustainable Long 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 Aqr Sustainable. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Sustainable Long has no effect on the direction of Citigroup i.e., Citigroup and Aqr Sustainable go up and down completely randomly.
Pair Corralation between Citigroup and Aqr Sustainable
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.23 times more return on investment than Aqr Sustainable. However, Citigroup is 2.23 times more volatile than Aqr Sustainable Long Short. It trades about 0.21 of its potential returns per unit of risk. Aqr Sustainable Long Short is currently generating about 0.13 per unit of risk. If you would invest 6,393 in Citigroup on August 31, 2024 and sell it today you would earn a total of 623.00 from holding Citigroup or generate 9.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Aqr Sustainable Long Short
Performance |
| Timeline |
| Citigroup |
| Aqr Sustainable Long |
Citigroup and Aqr Sustainable Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Aqr Sustainable
The main advantage of trading using opposite Citigroup and Aqr Sustainable positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Aqr Sustainable 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 Aqr Sustainable will offset losses from the drop in Aqr Sustainable's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Aqr Sustainable vs. Aqr Long Short Equity | Aqr Sustainable vs. Diamond Hill Long Short | Aqr Sustainable vs. Diamond Hill Long Short | Aqr Sustainable vs. Diamond Hill Long 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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.
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