Correlation Between Citigroup and Brooks Macdonald

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

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

Diversification Opportunities for Citigroup and Brooks Macdonald

-0.77

Correlation Coefficient

Citigroup  Brooks Macdonald

Pay attention - limited upside

The 3 months correlation between Citigroup and Brooks is -0.77. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Brooks Macdonald Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brooks Macdonald 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 Brooks Macdonald. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brooks Macdonald has no effect on the direction of Citigroup i.e., Citigroup and Brooks Macdonald go up and down completely randomly.

Pair Corralation between Citigroup and Brooks Macdonald

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.63 times more return on investment than Brooks Macdonald. However, Citigroup is 1.58 times less risky than Brooks Macdonald. It trades about 0.16 of its potential returns per unit of risk. Brooks Macdonald Group is currently generating about -0.04 per unit of risk. If you would invest  5,877  in Citigroup on September 17, 2024 and sell it today you would earn a total of  1,224  from holding Citigroup or generate 20.83% return on investment over 90 days.

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

Citigroup  vs.  Brooks Macdonald Group

Citigroup

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 12 (%) 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.

Brooks Macdonald

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Brooks Macdonald Group has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest uncertain performance, the Stock's technical and fundamental indicators remain sound and the latest tumult on Wall Street may also be a sign of longer-term gains for the firm shareholders.

Pair Trading with Citigroup and Brooks Macdonald

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

The idea behind Citigroup and Brooks Macdonald Group 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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.