Correlation Between Citigroup and Credit Suisse
Can any of the company-specific risk be diversified away by investing in both Citigroup and Credit Suisse 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 Suisse into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Credit Suisse High, you can compare the effects of market volatilities on Citigroup and Credit Suisse 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 Suisse. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Credit Suisse.
Diversification Opportunities for Citigroup and Credit Suisse
0.44 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Citigroup and Credit is 0.44. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Credit Suisse High in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Credit Suisse High 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 Suisse. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Credit Suisse High has no effect on the direction of Citigroup i.e., Citigroup and Credit Suisse go up and down completely randomly.
Pair Corralation between Citigroup and Credit Suisse
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.44 times more return on investment than Credit Suisse. However, Citigroup is 2.44 times more volatile than Credit Suisse High. It trades about 0.25 of its potential returns per unit of risk. Credit Suisse High is currently generating about 0.08 per unit of risk. If you would invest 6,360 in Citigroup on August 28, 2024 and sell it today you would earn a total of 715.00 from holding Citigroup or generate 11.24% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Credit Suisse High
Performance |
| Timeline |
| Citigroup |
| Credit Suisse High |
Citigroup and Credit Suisse Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Credit Suisse
The main advantage of trading using opposite Citigroup and Credit Suisse positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Credit Suisse 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 Suisse will offset losses from the drop in Credit Suisse's long position.The idea behind Citigroup and Credit Suisse High 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 Suisse vs. MFS Investment Grade | Credit Suisse vs. Invesco High Income | Credit Suisse vs. Eaton Vance National | Credit Suisse vs. Nuveen California Select |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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