Correlation Between Citigroup and Invesco Physical

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

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

Diversification Opportunities for Citigroup and Invesco Physical

0.67

Correlation Coefficient

Citigroup  Invesco Physical

Poor diversification

The 3 months correlation between Citigroup and Invesco is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Invesco Physical Gold in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco Physical Gold 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 Physical. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco Physical Gold has no effect on the direction of Citigroup i.e., Citigroup and Invesco Physical go up and down completely randomly.

Pair Corralation between Citigroup and Invesco Physical

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.09 times more return on investment than Invesco Physical. However, Citigroup is 2.09 times more volatile than Invesco Physical Gold. It trades about 0.19 of its potential returns per unit of risk. Invesco Physical Gold is currently generating about 0.19 per unit of risk. If you would invest  5,716  in Citigroup on September 13, 2024 and sell it today you would earn a total of  1,427  from holding Citigroup or generate 24.97% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.46%
Values	Daily Returns

Citigroup  vs.  Invesco Physical Gold

Citigroup

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 15 (%) 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.

Invesco Physical Gold

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Invesco Physical Gold are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak basic indicators, Invesco Physical may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Citigroup and Invesco Physical

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

The idea behind Citigroup and Invesco Physical Gold 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.

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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.