Correlation Between Marubeni and Citic
Can any of the company-specific risk be diversified away by investing in both Marubeni and Citic 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 Marubeni and Citic into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Marubeni and Citic Ltd ADR, you can compare the effects of market volatilities on Marubeni and Citic 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 Marubeni with a short position of Citic. Check out your portfolio center. Please also check ongoing floating volatility patterns of Marubeni and Citic.
Diversification Opportunities for Marubeni and Citic
Very good diversification
The 3 months correlation between Marubeni and Citic is -0.28. Overlapping area represents the amount of risk that can be diversified away by holding Marubeni and Citic Ltd ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citic Ltd ADR and Marubeni 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 Marubeni are associated (or correlated) with Citic. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citic Ltd ADR has no effect on the direction of Marubeni i.e., Marubeni and Citic go up and down completely randomly.
Pair Corralation between Marubeni and Citic
Assuming the 90 days horizon Marubeni is expected to generate 0.86 times more return on investment than Citic. However, Marubeni is 1.16 times less risky than Citic. It trades about 0.06 of its potential returns per unit of risk. Citic Ltd ADR is currently generating about -0.03 per unit of risk. If you would invest 1,349 in Marubeni on January 26, 2024 and sell it today you would earn a total of 409.20 from holding Marubeni or generate 30.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.6% |
| Values | Daily Returns |
Marubeni vs. Citic Ltd ADR
Performance |
| Timeline |
| Marubeni |
| Citic Ltd ADR |
Marubeni and Citic Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Marubeni and Citic
The main advantage of trading using opposite Marubeni and Citic positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Marubeni position performs unexpectedly, Citic 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 Citic will offset losses from the drop in Citic's long position.| Marubeni vs. Grupo Bimbo SAB | Marubeni vs. Grupo Financiero Inbursa | Marubeni vs. Arca Continental SAB | Marubeni vs. Becle SA de |
| Citic vs. Grupo Bimbo SAB | Citic vs. Grupo Financiero Inbursa | Citic vs. Arca Continental SAB | Citic vs. Becle SA de |
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 Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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