Correlation Between T Rowe and Citigroup
Can any of the company-specific risk be diversified away by investing in both T Rowe and Citigroup 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 T Rowe and Citigroup into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between T Rowe Price and Citigroup, you can compare the effects of market volatilities on T Rowe and Citigroup 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 T Rowe with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of T Rowe and Citigroup.
Diversification Opportunities for T Rowe and Citigroup
Very poor diversification
The 3 months correlation between RRTPX and Citigroup is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding T Rowe Price and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and T Rowe 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 T Rowe Price are associated (or correlated) with Citigroup. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citigroup has no effect on the direction of T Rowe i.e., T Rowe and Citigroup go up and down completely randomly.
Pair Corralation between T Rowe and Citigroup
Assuming the 90 days horizon T Rowe Price is expected to under-perform the Citigroup. But the mutual fund apears to be less risky and, when comparing its historical volatility, T Rowe Price is 2.78 times less risky than Citigroup. The mutual fund trades about -0.15 of its potential returns per unit of risk. The Citigroup is currently generating about 0.05 of returns per unit of risk over similar time horizon. 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 | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
T Rowe Price vs. Citigroup
Performance |
| Timeline |
| T Rowe Price |
| Citigroup |
T Rowe and Citigroup Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with T Rowe and Citigroup
The main advantage of trading using opposite T Rowe and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if T Rowe position performs unexpectedly, Citigroup 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 Citigroup will offset losses from the drop in Citigroup's long position.| T Rowe vs. Vanguard Target Retirement | T Rowe vs. American Funds 2035 | T Rowe vs. Fidelity Freedom 2035 | T Rowe vs. Fidelity Freedom Index |
| 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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