Correlation Between Citigroup and Mitsubishi Materials
Can any of the company-specific risk be diversified away by investing in both Citigroup and Mitsubishi Materials 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 Mitsubishi Materials into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Mitsubishi Materials, you can compare the effects of market volatilities on Citigroup and Mitsubishi Materials 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 Mitsubishi Materials. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Mitsubishi Materials.
Diversification Opportunities for Citigroup and Mitsubishi Materials
-0.03 | Correlation Coefficient |
Good diversification
The 3 months correlation between Citigroup and Mitsubishi is -0.03. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Mitsubishi Materials in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mitsubishi Materials 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 Mitsubishi Materials. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mitsubishi Materials has no effect on the direction of Citigroup i.e., Citigroup and Mitsubishi Materials go up and down completely randomly.
Pair Corralation between Citigroup and Mitsubishi Materials
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.95 times more return on investment than Mitsubishi Materials. However, Citigroup is 1.95 times more volatile than Mitsubishi Materials. It trades about 0.45 of its potential returns per unit of risk. Mitsubishi Materials is currently generating about 0.17 per unit of risk. If you would invest 6,994 in Citigroup on November 2, 2024 and sell it today you would earn a total of 1,192 from holding Citigroup or generate 17.04% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 90.48% |
| Values | Daily Returns |
Citigroup vs. Mitsubishi Materials
Performance |
| Timeline |
| Citigroup |
| Mitsubishi Materials |
Citigroup and Mitsubishi Materials Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Mitsubishi Materials
The main advantage of trading using opposite Citigroup and Mitsubishi Materials positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Mitsubishi Materials 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 Mitsubishi Materials will offset losses from the drop in Mitsubishi Materials' long position.| Citigroup vs. Royal Bank of | Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Canadian Imperial Bank |
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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 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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