Correlation Between Mitsubishi Ufj and Citigroup

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Can any of the company-specific risk be diversified away by investing in both Mitsubishi Ufj 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 Mitsubishi Ufj and Citigroup into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mitsubishi Ufj Financial and Citigroup, you can compare the effects of market volatilities on Mitsubishi Ufj 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 Mitsubishi Ufj with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mitsubishi Ufj and Citigroup.

Diversification Opportunities for Mitsubishi Ufj and Citigroup

0.76
  Correlation Coefficient

Poor diversification

The 3 months correlation between Mitsubishi and Citigroup is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Mitsubishi Ufj Financial and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Mitsubishi Ufj 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 Mitsubishi Ufj Financial 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 Mitsubishi Ufj i.e., Mitsubishi Ufj and Citigroup go up and down completely randomly.

Pair Corralation between Mitsubishi Ufj and Citigroup

Given the investment horizon of 90 days Mitsubishi Ufj Financial is expected to generate 0.89 times more return on investment than Citigroup. However, Mitsubishi Ufj Financial is 1.12 times less risky than Citigroup. It trades about 0.01 of its potential returns per unit of risk. Citigroup is currently generating about -0.07 per unit of risk. If you would invest  538.00  in Mitsubishi Ufj Financial on March 31, 2022 and sell it today you would earn a total of  8.00  from holding Mitsubishi Ufj Financial or generate 1.49% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy99.6%
ValuesDaily Returns

Mitsubishi Ufj Financial  vs.  Citigroup

 Performance (%) 
      Timeline 
Mitsubishi Ufj Financial 
Mitsubishi Performance
0 of 100
Over the last 90 days Mitsubishi Ufj Financial has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest inconsistent performance, the Stock's technical and fundamental indicators remain sound and the latest tumult on Wall Street may also be a sign of longer-term gains for the firm shareholders.

Structure and Payout Changes

Forward Annual Dividend Yield
0.0424
Payout Ratio
0.16
Last Split Factor
1:1
Forward Annual Dividend Rate
0.23
Dividend Date
2017-12-15
Ex Dividend Date
2021-09-29
Last Split Date
1996-03-26

Mitsubishi Price Channel

Citigroup 
Citigroup Performance
0 of 100
Over the last 90 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest inconsistent performance, the Stock's fundamental indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

Structure and Payout Changes

Forward Annual Dividend Yield
0.0439
Payout Ratio
0.24
Last Split Factor
1:10
Forward Annual Dividend Rate
2.04
Dividend Date
2022-05-27
Ex Dividend Date
2022-04-29
Last Split Date
2011-05-09

Citigroup Price Channel

Mitsubishi Ufj and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

Pair Trading with Mitsubishi Ufj and Citigroup

The main advantage of trading using opposite Mitsubishi Ufj and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mitsubishi Ufj 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 Mitsubishi Ufj Financial 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.
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.

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