Correlation Between Citigroup and Invesco Variable

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

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

Diversification Opportunities for Citigroup and Invesco Variable

0.83

Correlation Coefficient

Citigroup  Invesco Variable

Very poor diversification

The 3 months correlation between Citigroup and Invesco is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Invesco Variable Rate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco Variable Rate 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 Variable. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco Variable Rate has no effect on the direction of Citigroup i.e., Citigroup and Invesco Variable go up and down completely randomly.

Pair Corralation between Citigroup and Invesco Variable

Taking into account the 90-day investment horizon Citigroup is expected to under-perform the Invesco Variable. In addition to that, Citigroup is 3.23 times more volatile than Invesco Variable Rate. It trades about -0.12 of its total potential returns per unit of risk. Invesco Variable Rate is currently generating about 0.14 per unit of volatility. If you would invest  2,373  in Invesco Variable Rate on March 7, 2024 and sell it today you would earn a total of  23.00  from holding Invesco Variable Rate or generate 0.97% return on investment over 90 days.

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

Citigroup  vs.  Invesco Variable Rate

Citigroup

Risk-Adjusted Performance

6 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in July 2024.

Invesco Variable Rate

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Invesco Variable Rate are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. Even with relatively invariable basic indicators, Invesco Variable is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Pair Trading with Citigroup and Invesco Variable

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

The idea behind Citigroup and Invesco Variable Rate 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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.