Correlation Between Citigroup and MOSCOW EXCHANGE

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

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

Diversification Opportunities for Citigroup and MOSCOW EXCHANGE

0.33
  Correlation Coefficient
Citigroup
MOSCOW EXCHANGE

Weak diversification

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

Pair Corralation between Citigroup and MOSCOW EXCHANGE

Taking into account the 30 trading days horizon, Citigroup is expected to generate 1.55 times less return on investment than MOSCOW EXCHANGE. In addition to that, Citigroup is 1.63 times more volatile than MOSCOW EXCHANGE. It trades about 0.04 of its total potential returns per unit of risk. MOSCOW EXCHANGE is currently generating about 0.11 per unit of volatility. If you would invest  10,620  in MOSCOW EXCHANGE on June 10, 2020 and sell it today you would earn a total of  1,580  from holding MOSCOW EXCHANGE or generate 14.88% return on investment over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Weak
Accuracy82.54%
ValuesDaily Returns

Citigroup Inc  vs.  MOSCOW EXCHANGE

 Performance (%) 
      Timeline 
Citigroup 
22

Citigroup Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days. Despite somewhat sluggish basic indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in August 2020.
MOSCOW EXCHANGE 
77

MOSCOW EXCHANGE Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in MOSCOW EXCHANGE are ranked lower than 7 (%) of all global equities and portfolios over the last 30 days. In spite of rather weak fundamental drivers, MOSCOW EXCHANGE exhibited solid returns over the last few months and may actually be approaching a breakup point.

Citigroup and MOSCOW EXCHANGE Volatility Contrast

 Predicted Return Density 
      Returns 
Check out your portfolio center. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.


 
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