Correlation Between Citigroup and Invesco California
Can any of the company-specific risk be diversified away by investing in both Citigroup and Invesco California 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 California into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Invesco California Value, you can compare the effects of market volatilities on Citigroup and Invesco California 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 California. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Invesco California.
Diversification Opportunities for Citigroup and Invesco California
-0.78 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Citigroup and Invesco is -0.78. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Invesco California Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco California Value 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 California. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco California Value has no effect on the direction of Citigroup i.e., Citigroup and Invesco California go up and down completely randomly.
Pair Corralation between Citigroup and Invesco California
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.78 times more return on investment than Invesco California. However, Citigroup is 2.78 times more volatile than Invesco California Value. It trades about 0.25 of its potential returns per unit of risk. Invesco California Value is currently generating about 0.13 per unit of risk. If you would invest 6,360 in Citigroup on August 27, 2024 and sell it today you would earn a total of 715.00 from holding Citigroup or generate 11.24% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Invesco California Value
Performance |
| Timeline |
| Citigroup |
| Invesco California Value |
Citigroup and Invesco California Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Invesco California
The main advantage of trading using opposite Citigroup and Invesco California positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Invesco California 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 California will offset losses from the drop in Invesco California's long position.| Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal | Citigroup vs. Bank of Nova |
| Invesco California vs. Pimco California Municipal | Invesco California vs. Invesco Pennsylvania Value | Invesco California vs. Nuveen California Dividend | Invesco California vs. Invesco Advantage MIT |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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