Correlation Between Citigroup and Miller Opportunity

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

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

Diversification Opportunities for Citigroup and Miller Opportunity

0.95

Correlation Coefficient

Citigroup  Miller Opportunity

Almost no diversification

The 3 months correlation between Citigroup and Miller is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Miller Opportunity Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Miller Opportunity Trust 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 Miller Opportunity. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Miller Opportunity Trust has no effect on the direction of Citigroup i.e., Citigroup and Miller Opportunity go up and down completely randomly.

Pair Corralation between Citigroup and Miller Opportunity

Taking into account the 90-day investment horizon Citigroup is expected to generate 1.72 times more return on investment than Miller Opportunity. However, Citigroup is 1.72 times more volatile than Miller Opportunity Trust. It trades about 0.17 of its potential returns per unit of risk. Miller Opportunity Trust is currently generating about 0.19 per unit of risk. If you would invest  5,877  in Citigroup on September 17, 2024 and sell it today you would earn a total of  1,272  from holding Citigroup or generate 21.64% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	98.46%
Values	Daily Returns

Citigroup  vs.  Miller Opportunity Trust

Citigroup

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 13 (%) 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.

Miller Opportunity Trust

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Miller Opportunity Trust are ranked lower than 15 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Miller Opportunity showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Citigroup and Miller Opportunity

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

The idea behind Citigroup and Miller Opportunity Trust 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.