Correlation Between Citigroup and Invesco Vertible
Can any of the company-specific risk be diversified away by investing in both Citigroup and Invesco Vertible 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 Vertible into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Invesco Vertible Securities, you can compare the effects of market volatilities on Citigroup and Invesco Vertible 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 Vertible. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Invesco Vertible.
Diversification Opportunities for Citigroup and Invesco Vertible
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Citigroup and Invesco is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Invesco Vertible Securities in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco Vertible Sec 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 Vertible. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco Vertible Sec has no effect on the direction of Citigroup i.e., Citigroup and Invesco Vertible go up and down completely randomly.
Pair Corralation between Citigroup and Invesco Vertible
Taking into account the 90-day investment horizon Citigroup is expected to generate 3.27 times more return on investment than Invesco Vertible. However, Citigroup is 3.27 times more volatile than Invesco Vertible Securities. It trades about 0.07 of its potential returns per unit of risk. Invesco Vertible Securities is currently generating about 0.07 per unit of risk. If you would invest 4,328 in Citigroup on September 25, 2024 and sell it today you would earn a total of 2,591 from holding Citigroup or generate 59.87% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Citigroup vs. Invesco Vertible Securities
Performance |
Timeline |
Citigroup |
Invesco Vertible Sec |
Citigroup and Invesco Vertible Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Citigroup and Invesco Vertible
The main advantage of trading using opposite Citigroup and Invesco Vertible positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Invesco Vertible 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 Vertible will offset losses from the drop in Invesco Vertible's long position.The idea behind Citigroup and Invesco Vertible Securities 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.Invesco Vertible vs. Invesco Municipal Income | Invesco Vertible vs. Invesco Municipal Income | Invesco Vertible vs. Invesco Municipal Income | Invesco Vertible vs. Oppenheimer Rising Dividends |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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