Correlation Between Citigroup and Msvif Mid

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

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

Diversification Opportunities for Citigroup and Msvif Mid

0.94

Correlation Coefficient

Citigroup  Msvif Mid

Almost no diversification

The 3 months correlation between Citigroup and Msvif is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Msvif Mid Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Msvif Mid Cap 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 Msvif Mid. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Msvif Mid Cap has no effect on the direction of Citigroup i.e., Citigroup and Msvif Mid go up and down completely randomly.

Pair Corralation between Citigroup and Msvif Mid

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.14 times less return on investment than Msvif Mid. But when comparing it to its historical volatility, Citigroup is 1.62 times less risky than Msvif Mid. It trades about 0.06 of its potential returns per unit of risk. Msvif Mid Cap is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  657.00  in Msvif Mid Cap on September 21, 2024 and sell it today you would earn a total of  8.00  from holding Msvif Mid Cap or generate 1.22% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	95.45%
Values	Daily Returns

Citigroup  vs.  Msvif Mid Cap

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.

Msvif Mid Cap

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Msvif Mid Cap are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Msvif Mid showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Msvif Mid

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

The idea behind Citigroup and Msvif Mid Cap 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.