Correlation Between Citigroup and RBC Quant
Can any of the company-specific risk be diversified away by investing in both Citigroup and RBC Quant 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 RBC Quant into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and RBC Quant EAFE, you can compare the effects of market volatilities on Citigroup and RBC Quant 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 RBC Quant. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and RBC Quant.
Diversification Opportunities for Citigroup and RBC Quant
Very good diversification
The 3 months correlation between Citigroup and RBC is -0.21. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and RBC Quant EAFE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on RBC Quant EAFE 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 RBC Quant. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of RBC Quant EAFE has no effect on the direction of Citigroup i.e., Citigroup and RBC Quant go up and down completely randomly.
Pair Corralation between Citigroup and RBC Quant
Taking into account the 90-day investment horizon Citigroup is expected to generate 3.04 times more return on investment than RBC Quant. However, Citigroup is 3.04 times more volatile than RBC Quant EAFE. It trades about 0.26 of its potential returns per unit of risk. RBC Quant EAFE is currently generating about -0.01 per unit of risk. If you would invest 6,361 in Citigroup on September 1, 2024 and sell it today you would earn a total of 726.00 from holding Citigroup or generate 11.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 91.3% |
| Values | Daily Returns |
Citigroup vs. RBC Quant EAFE
Performance |
| Timeline |
| Citigroup |
| RBC Quant EAFE |
Citigroup and RBC Quant Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and RBC Quant
The main advantage of trading using opposite Citigroup and RBC Quant positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, RBC Quant 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 RBC Quant will offset losses from the drop in RBC Quant's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| RBC Quant vs. Vanguard FTSE Emerging | RBC Quant vs. Vanguard FTSE Developed | RBC Quant vs. Vanguard Total Market | RBC Quant vs. Vanguard Canadian Aggregate |
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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
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