Correlation Between Bolsa Mexicana and Citigroup

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

By analyzing existing cross correlation between Bolsa Mexicana de and Citigroup, you can compare the effects of market volatilities on Bolsa Mexicana and Citigroup 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 Bolsa Mexicana with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bolsa Mexicana and Citigroup.

Diversification Opportunities for Bolsa Mexicana and Citigroup

0.32

Correlation Coefficient

Bolsa Mexicana  Citigroup

Weak diversification

The 3 months correlation between Bolsa and Citigroup is 0.32. Overlapping area represents the amount of risk that can be diversified away by holding Bolsa Mexicana de and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Bolsa Mexicana 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 Bolsa Mexicana de are associated (or correlated) with Citigroup. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citigroup has no effect on the direction of Bolsa Mexicana i.e., Bolsa Mexicana and Citigroup go up and down completely randomly.

Pair Corralation between Bolsa Mexicana and Citigroup

Assuming the 90 days trading horizon Bolsa Mexicana is expected to generate 3.09 times less return on investment than Citigroup. But when comparing it to its historical volatility, Bolsa Mexicana de is 1.05 times less risky than Citigroup. It trades about 0.05 of its potential returns per unit of risk. Citigroup is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest  119,954  in Citigroup on September 27, 2024 and sell it today you would earn a total of  22,947  from holding Citigroup or generate 19.13% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Bolsa Mexicana de  vs.  Citigroup

Bolsa Mexicana de

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Bolsa Mexicana de are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong essential indicators, Bolsa Mexicana is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Citigroup

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak primary indicators, Citigroup showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Bolsa Mexicana and Citigroup

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

The idea behind Bolsa Mexicana de and Citigroup 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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.