Correlation Between Citigroup and PIMCO RAFI
Can any of the company-specific risk be diversified away by investing in both Citigroup and PIMCO RAFI 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 PIMCO RAFI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and PIMCO RAFI Dynamic, you can compare the effects of market volatilities on Citigroup and PIMCO RAFI 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 PIMCO RAFI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and PIMCO RAFI.
Diversification Opportunities for Citigroup and PIMCO RAFI
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and PIMCO is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and PIMCO RAFI Dynamic in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PIMCO RAFI Dynamic 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 PIMCO RAFI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PIMCO RAFI Dynamic has no effect on the direction of Citigroup i.e., Citigroup and PIMCO RAFI go up and down completely randomly.
Pair Corralation between Citigroup and PIMCO RAFI
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.25 times more return on investment than PIMCO RAFI. However, Citigroup is 2.25 times more volatile than PIMCO RAFI Dynamic. It trades about 0.05 of its potential returns per unit of risk. PIMCO RAFI Dynamic is currently generating about -0.05 per unit of risk. If you would invest 6,166 in Citigroup on January 26, 2024 and sell it today you would earn a total of 81.00 from holding Citigroup or generate 1.31% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. PIMCO RAFI Dynamic
Performance |
| Timeline |
| Citigroup |
| PIMCO RAFI Dynamic |
Citigroup and PIMCO RAFI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and PIMCO RAFI
The main advantage of trading using opposite Citigroup and PIMCO RAFI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, PIMCO RAFI 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 PIMCO RAFI will offset losses from the drop in PIMCO RAFI's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
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