Correlation Between Citigroup and Massmutual Select

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

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

Diversification Opportunities for Citigroup and Massmutual Select

0.95

Correlation Coefficient

Citigroup  Massmutual Select

Almost no diversification

The 3 months correlation between Citigroup and Massmutual is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Massmutual Select Blue in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Massmutual Select Blue 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 Massmutual Select. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Massmutual Select Blue has no effect on the direction of Citigroup i.e., Citigroup and Massmutual Select go up and down completely randomly.

Pair Corralation between Citigroup and Massmutual Select

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.1 times more return on investment than Massmutual Select. However, Citigroup is 1.1 times more volatile than Massmutual Select Blue. It trades about 0.06 of its potential returns per unit of risk. Massmutual Select Blue is currently generating about 0.04 per unit of risk. If you would invest  4,758  in Citigroup on September 29, 2024 and sell it today you would earn a total of  2,342  from holding Citigroup or generate 49.22% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	99.79%
Values	Daily Returns

Citigroup  vs.  Massmutual Select Blue

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 uncertain fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Massmutual Select Blue

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Massmutual Select Blue are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak essential indicators, Massmutual Select may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Citigroup and Massmutual Select

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

The idea behind Citigroup and Massmutual Select Blue 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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.