Correlation Between Citigroup and Morgan Stanley
Can any of the company-specific risk be diversified away by investing in both Citigroup and Morgan Stanley 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 Morgan Stanley into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Morgan Stanley, you can compare the effects of market volatilities on Citigroup and Morgan Stanley 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 Morgan Stanley. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Morgan Stanley.
Diversification Opportunities for Citigroup and Morgan Stanley
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Citigroup and Morgan is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Morgan Stanley in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Morgan Stanley 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 Morgan Stanley. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Morgan Stanley has no effect on the direction of Citigroup i.e., Citigroup and Morgan Stanley go up and down completely randomly.
Pair Corralation between Citigroup and Morgan Stanley
Given the investment horizon of 90 days Citigroup is expected to generate 0.92 times more return on investment than Morgan Stanley. However, Citigroup is 1.08 times less risky than Morgan Stanley. It trades about 0.07 of its potential returns per unit of risk. Morgan Stanley is currently generating about 0.06 per unit of risk. If you would invest 82,961 in Citigroup on September 4, 2024 and sell it today you would earn a total of 62,227 from holding Citigroup or generate 75.01% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 99.8% |
| Values | Daily Returns |
Citigroup vs. Morgan Stanley
Performance |
| Timeline |
| Citigroup |
| Morgan Stanley |
Citigroup and Morgan Stanley Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Morgan Stanley
The main advantage of trading using opposite Citigroup and Morgan Stanley positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Morgan Stanley 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 Morgan Stanley will offset losses from the drop in Morgan Stanley's long position.| Citigroup vs. Capital One Financial | Citigroup vs. Ameriprise Financial | Citigroup vs. Deutsche Bank Aktiengesellschaft | Citigroup vs. New Oriental Education |
| Morgan Stanley vs. Grupo Sports World | Morgan Stanley vs. McEwen Mining | Morgan Stanley vs. Monster Beverage Corp | Morgan Stanley vs. Deutsche Bank Aktiengesellschaft |
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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
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