Correlation Between Citigroup and MT Bank
Can any of the company-specific risk be diversified away by investing in both Citigroup and MT Bank 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 MT Bank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and MT Bank, you can compare the effects of market volatilities on Citigroup and MT Bank 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 MT Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and MT Bank.
Diversification Opportunities for Citigroup and MT Bank
Very weak diversification
The 3 months correlation between Citigroup and MTB-PH is 0.41. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and MT Bank in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MT Bank 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 MT Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MT Bank has no effect on the direction of Citigroup i.e., Citigroup and MT Bank go up and down completely randomly.
Pair Corralation between Citigroup and MT Bank
Taking into account the 90-day investment horizon Citigroup is expected to generate 3.02 times more return on investment than MT Bank. However, Citigroup is 3.02 times more volatile than MT Bank. It trades about 0.04 of its potential returns per unit of risk. MT Bank is currently generating about 0.08 per unit of risk. If you would invest 7,051 in Citigroup on December 27, 2024 and sell it today you would earn a total of 273.00 from holding Citigroup or generate 3.87% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Citigroup vs. MT Bank
Performance |
Timeline |
Citigroup |
MT Bank |
Citigroup and MT Bank Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Citigroup and MT Bank
The main advantage of trading using opposite Citigroup and MT Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, MT Bank 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 MT Bank will offset losses from the drop in MT Bank's long position.Citigroup vs. PJT Partners | Citigroup vs. National Bank Holdings | Citigroup vs. FB Financial Corp | Citigroup vs. Northrim BanCorp |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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