Correlation Between Citigroup and QRF SCA
Can any of the company-specific risk be diversified away by investing in both Citigroup and QRF SCA 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 QRF SCA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and QRF SCA, you can compare the effects of market volatilities on Citigroup and QRF SCA 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 QRF SCA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and QRF SCA.
Diversification Opportunities for Citigroup and QRF SCA
Average diversification
The 3 months correlation between Citigroup and QRF is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and QRF SCA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on QRF SCA 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 QRF SCA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of QRF SCA has no effect on the direction of Citigroup i.e., Citigroup and QRF SCA go up and down completely randomly.
Pair Corralation between Citigroup and QRF SCA
Taking into account the 90-day investment horizon Citigroup is expected to under-perform the QRF SCA. In addition to that, Citigroup is 1.52 times more volatile than QRF SCA. It trades about -0.15 of its total potential returns per unit of risk. QRF SCA is currently generating about -0.04 per unit of volatility. If you would invest 1,040 in QRF SCA on December 6, 2024 and sell it today you would lose (15.00) from holding QRF SCA or give up 1.44% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 91.3% |
| Values | Daily Returns |
Citigroup vs. QRF SCA
Performance |
| Timeline |
| Citigroup |
| QRF SCA |
Citigroup and QRF SCA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and QRF SCA
The main advantage of trading using opposite Citigroup and QRF SCA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, QRF SCA 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 QRF SCA will offset losses from the drop in QRF SCA's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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