Correlation Between Citigroup and Calamos Market
Can any of the company-specific risk be diversified away by investing in both Citigroup and Calamos Market 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 Calamos Market into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Calamos Market Neutral, you can compare the effects of market volatilities on Citigroup and Calamos Market 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 Calamos Market. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Calamos Market.
Diversification Opportunities for Citigroup and Calamos Market
0.82 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and Calamos is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Calamos Market Neutral in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Market Neutral 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 Calamos Market. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Market Neutral has no effect on the direction of Citigroup i.e., Citigroup and Calamos Market go up and down completely randomly.
Pair Corralation between Citigroup and Calamos Market
Taking into account the 90-day investment horizon Citigroup is expected to generate 20.52 times more return on investment than Calamos Market. However, Citigroup is 20.52 times more volatile than Calamos Market Neutral. It trades about 0.21 of its potential returns per unit of risk. Calamos Market Neutral is currently generating about 0.23 per unit of risk. If you would invest 6,360 in Citigroup on August 29, 2024 and sell it today you would earn a total of 615.00 from holding Citigroup or generate 9.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Calamos Market Neutral
Performance |
| Timeline |
| Citigroup |
| Calamos Market Neutral |
Citigroup and Calamos Market Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Calamos Market
The main advantage of trading using opposite Citigroup and Calamos Market positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Calamos Market 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 Calamos Market will offset losses from the drop in Calamos Market's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Calamos Market vs. The Arbitrage Fund | Calamos Market vs. The Merger Fund | Calamos Market vs. Gateway Fund Class | Calamos Market vs. Diamond Hill Long Short |
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 Anywhere module to track or share privately all of your investments from the convenience of any device.
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