Correlation Between Credit Suisse and Citigroup
Can any of the company-specific risk be diversified away by investing in both Credit Suisse 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 Credit Suisse and Citigroup into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Credit Suisse Group and Citigroup, you can compare the effects of market volatilities on Credit Suisse 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 Credit Suisse with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of Credit Suisse and Citigroup.
Diversification Opportunities for Credit Suisse and Citigroup
-0.19 | Correlation Coefficient |
Good diversification
The 3 months correlation between Credit and Citigroup is -0.19. Overlapping area represents the amount of risk that can be diversified away by holding Credit Suisse Group and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Credit Suisse 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 Credit Suisse Group 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 Credit Suisse i.e., Credit Suisse and Citigroup go up and down completely randomly.
Pair Corralation between Credit Suisse and Citigroup
Allowing for the 90-day total investment horizon Credit Suisse Group is expected to under-perform the Citigroup. In addition to that, Credit Suisse is 3.4 times more volatile than Citigroup. It trades about -0.14 of its total potential returns per unit of risk. Citigroup is currently generating about 0.06 per unit of volatility. If you would invest 4,353 in Citigroup on August 23, 2024 and sell it today you would earn a total of 2,542 from holding Citigroup or generate 58.4% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 26.81% |
| Values | Daily Returns |
Credit Suisse Group vs. Citigroup
Performance |
| Timeline |
| Credit Suisse Group |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
| Citigroup |
Credit Suisse and Citigroup Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Credit Suisse and Citigroup
The main advantage of trading using opposite Credit Suisse and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Credit Suisse 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.| Credit Suisse vs. Barclays PLC ADR | Credit Suisse vs. HSBC Holdings PLC | Credit Suisse vs. ING Group NV | Credit Suisse vs. Citigroup |
| Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Royal Bank of | Citigroup vs. JPMorgan Chase Co |
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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
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