Correlation Between Citigroup and MPM Corpreos

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

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

Diversification Opportunities for Citigroup and MPM Corpreos

-0.63

Correlation Coefficient

Citigroup  MPM Corpreos

Excellent diversification

The 3 months correlation between Citigroup and MPM is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and MPM Corpreos SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MPM Corpreos 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 MPM Corpreos. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MPM Corpreos SA has no effect on the direction of Citigroup i.e., Citigroup and MPM Corpreos go up and down completely randomly.

Pair Corralation between Citigroup and MPM Corpreos

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.44 times more return on investment than MPM Corpreos. However, Citigroup is 2.26 times less risky than MPM Corpreos. It trades about -0.05 of its potential returns per unit of risk. MPM Corpreos SA is currently generating about -0.26 per unit of risk. If you would invest  7,142  in Citigroup on October 4, 2024 and sell it today you would lose (103.00) from holding Citigroup or give up 1.44% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	90.48%
Values	Daily Returns

Citigroup  vs.  MPM Corpreos SA

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.

MPM Corpreos SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days MPM Corpreos SA has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of uncertain performance in the last few months, the Stock's basic indicators remain comparatively stable which may send shares a bit higher in February 2025. The newest uproar may also be a sign of mid-term up-swing for the firm private investors.

Pair Trading with Citigroup and MPM Corpreos

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

The idea behind Citigroup and MPM Corpreos 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..