Correlation Between Mitsubishi and CITIC
Can any of the company-specific risk be diversified away by investing in both Mitsubishi and CITIC 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 Mitsubishi and CITIC into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mitsubishi and CITIC LTD ADR5, you can compare the effects of market volatilities on Mitsubishi and CITIC 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 Mitsubishi with a short position of CITIC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mitsubishi and CITIC.
Diversification Opportunities for Mitsubishi and CITIC
-0.41 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Mitsubishi and CITIC is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding Mitsubishi and CITIC LTD ADR5 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CITIC LTD ADR5 and Mitsubishi 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 Mitsubishi are associated (or correlated) with CITIC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CITIC LTD ADR5 has no effect on the direction of Mitsubishi i.e., Mitsubishi and CITIC go up and down completely randomly.
Pair Corralation between Mitsubishi and CITIC
Assuming the 90 days horizon Mitsubishi is expected to under-perform the CITIC. But the stock apears to be less risky and, when comparing its historical volatility, Mitsubishi is 1.31 times less risky than CITIC. The stock trades about -0.16 of its potential returns per unit of risk. The CITIC LTD ADR5 is currently generating about -0.11 of returns per unit of risk over similar time horizon. If you would invest 540.00 in CITIC LTD ADR5 on August 28, 2024 and sell it today you would lose (30.00) from holding CITIC LTD ADR5 or give up 5.56% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mitsubishi vs. CITIC LTD ADR5
Performance |
| Timeline |
| Mitsubishi |
| CITIC LTD ADR5 |
Mitsubishi and CITIC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mitsubishi and CITIC
The main advantage of trading using opposite Mitsubishi and CITIC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mitsubishi position performs unexpectedly, CITIC 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 CITIC will offset losses from the drop in CITIC's long position.| Mitsubishi vs. Superior Plus Corp | Mitsubishi vs. NMI Holdings | Mitsubishi vs. Origin Agritech | Mitsubishi vs. SIVERS SEMICONDUCTORS AB |
| CITIC vs. Superior Plus Corp | CITIC vs. NMI Holdings | CITIC vs. Origin Agritech | CITIC vs. SIVERS SEMICONDUCTORS AB |
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 Bonds Directory module to find actively traded corporate debentures issued by US companies.
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