Correlation Between Citigroup and MITSUI FUDOSAN

Can any of the company-specific risk be diversified away by investing in both Citigroup and MITSUI FUDOSAN 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 MITSUI FUDOSAN into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Citigroup and MITSUI FUDOSAN LOGPARK, you can compare the effects of market volatilities on Citigroup and MITSUI FUDOSAN 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 MITSUI FUDOSAN. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and MITSUI FUDOSAN.

Diversification Opportunities for Citigroup and MITSUI FUDOSAN

-0.47

Correlation Coefficient

Citigroup  MITSUI FUDOSAN

Very good diversification

The 3 months correlation between Citigroup and MITSUI is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and MITSUI FUDOSAN LOGPARK in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MITSUI FUDOSAN LOGPARK 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 MITSUI FUDOSAN. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MITSUI FUDOSAN LOGPARK has no effect on the direction of Citigroup i.e., Citigroup and MITSUI FUDOSAN go up and down completely randomly.

Pair Corralation between Citigroup and MITSUI FUDOSAN

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.4 times more return on investment than MITSUI FUDOSAN. However, Citigroup is 1.4 times more volatile than MITSUI FUDOSAN LOGPARK. It trades about 0.06 of its potential returns per unit of risk. MITSUI FUDOSAN LOGPARK is currently generating about -0.03 per unit of risk. If you would invest  4,600  in Citigroup on October 4, 2024 and sell it today you would earn a total of  2,439  from holding Citigroup or generate 53.02% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	98.8%
Values	Daily Returns

Citigroup  vs.  MITSUI FUDOSAN LOGPARK

Citigroup

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of rather unsteady fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

MITSUI FUDOSAN LOGPARK

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days MITSUI FUDOSAN LOGPARK has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, MITSUI FUDOSAN is not utilizing all of its potentials. The newest stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Citigroup and MITSUI FUDOSAN

The main advantage of trading using opposite Citigroup and MITSUI FUDOSAN positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, MITSUI FUDOSAN 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 MITSUI FUDOSAN will offset losses from the drop in MITSUI FUDOSAN's long position.

The idea behind Citigroup and MITSUI FUDOSAN LOGPARK pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.