Correlation Between Citigroup and Aqr Style
Can any of the company-specific risk be diversified away by investing in both Citigroup and Aqr Style 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 Style into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Aqr Style Premia, you can compare the effects of market volatilities on Citigroup and Aqr Style 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 Style. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Aqr Style.
Diversification Opportunities for Citigroup and Aqr Style
Very weak diversification
The 3 months correlation between Citigroup and Aqr is 0.46. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Aqr Style Premia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Style Premia 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 Style. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Style Premia has no effect on the direction of Citigroup i.e., Citigroup and Aqr Style go up and down completely randomly.
Pair Corralation between Citigroup and Aqr Style
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.02 times more return on investment than Aqr Style. However, Citigroup is 2.02 times more volatile than Aqr Style Premia. It trades about 0.06 of its potential returns per unit of risk. Aqr Style Premia is currently generating about 0.07 per unit of risk. If you would invest 4,651 in Citigroup on September 1, 2024 and sell it today you would earn a total of 2,436 from holding Citigroup or generate 52.38% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 99.78% |
| Values | Daily Returns |
Citigroup vs. Aqr Style Premia
Performance |
| Timeline |
| Citigroup |
| Aqr Style Premia |
Citigroup and Aqr Style Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Aqr Style
The main advantage of trading using opposite Citigroup and Aqr Style positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Aqr Style 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 Style will offset losses from the drop in Aqr Style's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Aqr Style vs. Aqr Large Cap | Aqr Style vs. Aqr Large Cap | Aqr Style vs. Aqr International Defensive | Aqr Style vs. Aqr International Defensive |
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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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