Correlation Between Citigroup and MPLN Old

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

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

Diversification Opportunities for Citigroup and MPLN Old

-0.25

Correlation Coefficient

Citigroup  MPLN Old

Very good diversification

The 3 months correlation between Citigroup and MPLN is -0.25. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and MPLN Old in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MPLN Old 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 MPLN Old. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MPLN Old has no effect on the direction of Citigroup i.e., Citigroup and MPLN Old go up and down completely randomly.

Pair Corralation between Citigroup and MPLN Old

Taking into account the 90-day investment horizon Citigroup is expected to generate 46.96 times less return on investment than MPLN Old. But when comparing it to its historical volatility, Citigroup is 4.3 times less risky than MPLN Old. It trades about 0.01 of its potential returns per unit of risk. MPLN Old is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest  1,546  in MPLN Old on December 30, 2024 and sell it today you would earn a total of  769.00  from holding MPLN Old or generate 49.74% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	66.13%
Values	Daily Returns

Citigroup  vs.  MPLN Old

Citigroup

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 1 (%) 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.

MPLN Old

Risk-Adjusted Performance

Good

Over the last 90 days MPLN Old has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very unfluctuating essential indicators, MPLN Old displayed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and MPLN Old

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

The idea behind Citigroup and MPLN Old 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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.