Correlation Between Citigroup and BCAP MSCI

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

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

Diversification Opportunities for Citigroup and BCAP MSCI

-0.39

Correlation Coefficient

Citigroup  BCAP MSCI

Very good diversification

The 3 months correlation between Citigroup and BCAP is -0.39. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and BCAP MSCI Thailand in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BCAP MSCI Thailand 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 BCAP MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BCAP MSCI Thailand has no effect on the direction of Citigroup i.e., Citigroup and BCAP MSCI go up and down completely randomly.

Pair Corralation between Citigroup and BCAP MSCI

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.63 times more return on investment than BCAP MSCI. However, Citigroup is 1.63 times more volatile than BCAP MSCI Thailand. It trades about 0.02 of its potential returns per unit of risk. BCAP MSCI Thailand is currently generating about -0.46 per unit of risk. If you would invest  6,895  in Citigroup on September 22, 2024 and sell it today you would earn a total of  24.00  from holding Citigroup or generate 0.35% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  BCAP MSCI Thailand

Citigroup

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in January 2025.

BCAP MSCI Thailand

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days BCAP MSCI Thailand has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Etf's fundamental indicators remain strong and the recent confusion on Wall Street may also be a sign of long-lasting gains for the Etf traders.

Pair Trading with Citigroup and BCAP MSCI

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

The idea behind Citigroup and BCAP MSCI Thailand 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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.