Correlation Between Citigroup and Calvert Income
Can any of the company-specific risk be diversified away by investing in both Citigroup and Calvert Income 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 Calvert Income into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Calvert Income Fund, you can compare the effects of market volatilities on Citigroup and Calvert Income 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 Calvert Income. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Calvert Income.
Diversification Opportunities for Citigroup and Calvert Income
-0.67 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Citigroup and Calvert is -0.67. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Calvert Income Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Income 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 Calvert Income. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Income has no effect on the direction of Citigroup i.e., Citigroup and Calvert Income go up and down completely randomly.
Pair Corralation between Citigroup and Calvert Income
Taking into account the 90-day investment horizon Citigroup is expected to generate 4.91 times more return on investment than Calvert Income. However, Citigroup is 4.91 times more volatile than Calvert Income Fund. It trades about 0.11 of its potential returns per unit of risk. Calvert Income Fund is currently generating about 0.11 per unit of risk. If you would invest 4,642 in Citigroup on September 4, 2024 and sell it today you would earn a total of 2,500 from holding Citigroup or generate 53.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Calvert Income Fund
Performance |
| Timeline |
| Citigroup |
| Calvert Income |
Citigroup and Calvert Income Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Calvert Income
The main advantage of trading using opposite Citigroup and Calvert Income positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Calvert Income 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 Calvert Income will offset losses from the drop in Calvert Income's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Calvert Income vs. Calvert Developed Market | Calvert Income vs. Calvert Developed Market | Calvert Income vs. Calvert Short Duration | Calvert Income vs. Calvert International Responsible |
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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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