Correlation Between Citigroup and MasterBrand
Can any of the company-specific risk be diversified away by investing in both Citigroup and MasterBrand 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 MasterBrand into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and MasterBrand, you can compare the effects of market volatilities on Citigroup and MasterBrand 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 MasterBrand. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and MasterBrand.
Diversification Opportunities for Citigroup and MasterBrand
0.15 | Correlation Coefficient |
Average diversification
The 3 months correlation between Citigroup and MasterBrand is 0.15. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and MasterBrand in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MasterBrand 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 MasterBrand. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MasterBrand has no effect on the direction of Citigroup i.e., Citigroup and MasterBrand go up and down completely randomly.
Pair Corralation between Citigroup and MasterBrand
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.02 times more return on investment than MasterBrand. However, Citigroup is 1.02 times more volatile than MasterBrand. It trades about 0.23 of its potential returns per unit of risk. MasterBrand is currently generating about -0.16 per unit of risk. If you would invest 6,360 in Citigroup on August 27, 2024 and sell it today you would earn a total of 624.00 from holding Citigroup or generate 9.81% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. MasterBrand
Performance |
| Timeline |
| Citigroup |
| MasterBrand |
Citigroup and MasterBrand Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and MasterBrand
The main advantage of trading using opposite Citigroup and MasterBrand positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, MasterBrand 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 MasterBrand will offset losses from the drop in MasterBrand's long position.| Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal | Citigroup vs. Bank of Nova |
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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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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