Correlation Between Citigroup and RPT Realty

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

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

Diversification Opportunities for Citigroup and RPT Realty

0.85

Correlation Coefficient

Citigroup  RPT Realty

Very poor diversification

The 3 months correlation between Citigroup and RPT is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and RPT Realty in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on RPT Realty 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 RPT Realty. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of RPT Realty has no effect on the direction of Citigroup i.e., Citigroup and RPT Realty go up and down completely randomly.

Pair Corralation between Citigroup and RPT Realty

If you would invest  6,235  in Citigroup on September 3, 2024 and sell it today you would earn a total of  852.00  from holding Citigroup or generate 13.66% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	5.0%
Values	Daily Returns

Citigroup  vs.  RPT Realty

Citigroup

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

RPT Realty

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days RPT Realty has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, RPT Realty is not utilizing all of its potentials. The latest stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Citigroup and RPT Realty

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

The idea behind Citigroup and RPT Realty 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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.