Correlation Between Citigroup and Mapfre SA

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

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

Diversification Opportunities for Citigroup and Mapfre SA

0.26

Correlation Coefficient

Citigroup  Mapfre SA

Modest diversification

The 3 months correlation between Citigroup and Mapfre is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Mapfre SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mapfre SA 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 Mapfre SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mapfre SA has no effect on the direction of Citigroup i.e., Citigroup and Mapfre SA go up and down completely randomly.

Pair Corralation between Citigroup and Mapfre SA

Taking into account the 90-day investment horizon Citigroup is expected to generate 4.38 times less return on investment than Mapfre SA. In addition to that, Citigroup is 1.04 times more volatile than Mapfre SA. It trades about 0.03 of its total potential returns per unit of risk. Mapfre SA is currently generating about 0.15 per unit of volatility. If you would invest  243.00  in Mapfre SA on December 28, 2024 and sell it today you would earn a total of  44.00  from holding Mapfre SA or generate 18.11% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	96.77%
Values	Daily Returns

Citigroup  vs.  Mapfre SA

Citigroup

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound fundamental indicators, Citigroup is not utilizing all of its potentials. The newest stock price tumult, may contribute to shorter-term losses for the shareholders.

Mapfre SA

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Mapfre SA are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, Mapfre SA reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Mapfre SA

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

The idea behind Citigroup and Mapfre SA 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.