Correlation Between Citigroup and Brookfield Property

Can any of the company-specific risk be diversified away by investing in both Citigroup and Brookfield Property 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 Brookfield Property into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Citigroup and Brookfield Property Partners, you can compare the effects of market volatilities on Citigroup and Brookfield Property 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 Brookfield Property. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Brookfield Property.

Diversification Opportunities for Citigroup and Brookfield Property

0.55

Correlation Coefficient

Citigroup  Brookfield Property

Very weak diversification

The 3 months correlation between Citigroup and Brookfield is 0.55. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Brookfield Property Partners in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brookfield Property 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 Brookfield Property. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brookfield Property has no effect on the direction of Citigroup i.e., Citigroup and Brookfield Property go up and down completely randomly.

Pair Corralation between Citigroup and Brookfield Property

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.07 times less return on investment than Brookfield Property. In addition to that, Citigroup is 1.31 times more volatile than Brookfield Property Partners. It trades about 0.04 of its total potential returns per unit of risk. Brookfield Property Partners is currently generating about 0.06 per unit of volatility. If you would invest  1,452  in Brookfield Property Partners on December 23, 2024 and sell it today you would earn a total of  69.00  from holding Brookfield Property Partners or generate 4.75% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Brookfield Property Partners

Citigroup

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound fundamental indicators, Citigroup is not utilizing all of its potentials. The recent stock price tumult, may contribute to shorter-term losses for the shareholders.

Brookfield Property

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Brookfield Property Partners are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Even with relatively invariable basic indicators, Brookfield Property is not utilizing all of its potentials. The current stock price agitation, may contribute to short-term losses for the retail investors.

Pair Trading with Citigroup and Brookfield Property

The main advantage of trading using opposite Citigroup and Brookfield Property positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Brookfield Property 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 Brookfield Property will offset losses from the drop in Brookfield Property's long position.

The idea behind Citigroup and Brookfield Property Partners pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.