Correlation Between Citigroup and Mr Price

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

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

Diversification Opportunities for Citigroup and Mr Price

0.33

Correlation Coefficient

Citigroup  Mr Price

Weak diversification

The 3 months correlation between Citigroup and MRPLY is 0.33. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Mr Price Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mr Price Group 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 Mr Price. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mr Price Group has no effect on the direction of Citigroup i.e., Citigroup and Mr Price go up and down completely randomly.

Pair Corralation between Citigroup and Mr Price

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.03 times less return on investment than Mr Price. But when comparing it to its historical volatility, Citigroup is 1.46 times less risky than Mr Price. It trades about 0.07 of its potential returns per unit of risk. Mr Price Group is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  876.00  in Mr Price Group on October 25, 2024 and sell it today you would earn a total of  519.00  from holding Mr Price Group or generate 59.25% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	96.35%
Values	Daily Returns

Citigroup  vs.  Mr Price Group

Citigroup

Risk-Adjusted Performance

21 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 21 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Mr Price Group

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Mr Price Group has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly strong essential indicators, Mr Price is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and Mr Price

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

The idea behind Citigroup and Mr Price Group 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.