Correlation Between Citigroup and Mfs North
Can any of the company-specific risk be diversified away by investing in both Citigroup and Mfs North 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 Mfs North into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Mfs North Carolina, you can compare the effects of market volatilities on Citigroup and Mfs North 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 Mfs North. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Mfs North.
Diversification Opportunities for Citigroup and Mfs North
Good diversification
The 3 months correlation between Citigroup and Mfs is -0.09. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Mfs North Carolina in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mfs North Carolina 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 Mfs North. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mfs North Carolina has no effect on the direction of Citigroup i.e., Citigroup and Mfs North go up and down completely randomly.
Pair Corralation between Citigroup and Mfs North
Taking into account the 90-day investment horizon Citigroup is expected to generate 6.18 times more return on investment than Mfs North. However, Citigroup is 6.18 times more volatile than Mfs North Carolina. It trades about 0.13 of its potential returns per unit of risk. Mfs North Carolina is currently generating about -0.09 per unit of risk. If you would invest 6,205 in Citigroup on October 5, 2024 and sell it today you would earn a total of 895.00 from holding Citigroup or generate 14.42% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Citigroup vs. Mfs North Carolina
Performance |
Timeline |
Citigroup |
Mfs North Carolina |
Citigroup and Mfs North Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Citigroup and Mfs North
The main advantage of trading using opposite Citigroup and Mfs North positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Mfs North 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 Mfs North will offset losses from the drop in Mfs North's long position.Citigroup vs. JPMorgan Chase Co | ||
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Check out your portfolio center.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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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