Correlation Between Citigroup and Lyxor MSCI
Can any of the company-specific risk be diversified away by investing in both Citigroup and Lyxor MSCI 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 Lyxor MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Lyxor MSCI China, you can compare the effects of market volatilities on Citigroup and Lyxor MSCI 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 Lyxor MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Lyxor MSCI.
Diversification Opportunities for Citigroup and Lyxor MSCI
0.16 | Correlation Coefficient |
Average diversification
The 3 months correlation between Citigroup and Lyxor is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Lyxor MSCI China in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI China 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 Lyxor MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor MSCI China has no effect on the direction of Citigroup i.e., Citigroup and Lyxor MSCI go up and down completely randomly.
Pair Corralation between Citigroup and Lyxor MSCI
Taking into account the 90-day investment horizon Citigroup is expected to generate 0.71 times more return on investment than Lyxor MSCI. However, Citigroup is 1.4 times less risky than Lyxor MSCI. It trades about 0.12 of its potential returns per unit of risk. Lyxor MSCI China is currently generating about 0.02 per unit of risk. If you would invest 4,004 in Citigroup on September 12, 2024 and sell it today you would earn a total of 3,200 from holding Citigroup or generate 79.92% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 85.8% |
| Values | Daily Returns |
Citigroup vs. Lyxor MSCI China
Performance |
| Timeline |
| Citigroup |
| Lyxor MSCI China |
Citigroup and Lyxor MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Lyxor MSCI
The main advantage of trading using opposite Citigroup and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Lyxor MSCI 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 Lyxor MSCI will offset losses from the drop in Lyxor MSCI'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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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