Correlation Between Citigroup and Credit Agricole
Can any of the company-specific risk be diversified away by investing in both Citigroup and Credit Agricole 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 Credit Agricole into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Credit Agricole SA, you can compare the effects of market volatilities on Citigroup and Credit Agricole 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 Credit Agricole. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Credit Agricole.
Diversification Opportunities for Citigroup and Credit Agricole
-0.77 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Citigroup and Credit is -0.77. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Credit Agricole SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Credit Agricole SA 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 Credit Agricole. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Credit Agricole SA has no effect on the direction of Citigroup i.e., Citigroup and Credit Agricole go up and down completely randomly.
Pair Corralation between Citigroup and Credit Agricole
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.37 times more return on investment than Credit Agricole. However, Citigroup is 1.37 times more volatile than Credit Agricole SA. It trades about 0.07 of its potential returns per unit of risk. Credit Agricole SA is currently generating about 0.09 per unit of risk. If you would invest 4,117 in Citigroup on August 28, 2024 and sell it today you would earn a total of 2,858 from holding Citigroup or generate 69.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 98.22% |
| Values | Daily Returns |
Citigroup vs. Credit Agricole SA
Performance |
| Timeline |
| Citigroup |
| Credit Agricole SA |
Citigroup and Credit Agricole Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Credit Agricole
The main advantage of trading using opposite Citigroup and Credit Agricole positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Credit Agricole 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 Credit Agricole will offset losses from the drop in Credit Agricole's long position.The idea behind Citigroup and Credit Agricole SA 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.| Credit Agricole vs. Societe Generale SA | Credit Agricole vs. BNP Paribas SA | Credit Agricole vs. AXA SA | Credit Agricole vs. Orange SA |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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