Correlation Between Citigroup and Calvert Global

Can any of the company-specific risk be diversified away by investing in both Citigroup and Calvert Global 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 Global into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Citigroup and Calvert Global Water, you can compare the effects of market volatilities on Citigroup and Calvert Global 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 Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Calvert Global.

Diversification Opportunities for Citigroup and Calvert Global

-0.16

Correlation Coefficient

Citigroup  Calvert Global

Good diversification

The 3 months correlation between Citigroup and Calvert is -0.16. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Calvert Global Water in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Global Water 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 Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Global Water has no effect on the direction of Citigroup i.e., Citigroup and Calvert Global go up and down completely randomly.

Pair Corralation between Citigroup and Calvert Global

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.82 times more return on investment than Calvert Global. However, Citigroup is 1.22 times less risky than Calvert Global. It trades about 0.0 of its potential returns per unit of risk. Calvert Global Water is currently generating about -0.42 per unit of risk. If you would invest  7,149  in Citigroup on October 15, 2024 and sell it today you would lose (9.00) from holding Citigroup or give up 0.13% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	94.74%
Values	Daily Returns

Citigroup  vs.  Calvert Global Water

Citigroup

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. In spite of rather uncertain fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Calvert Global Water

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Calvert Global Water has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Pair Trading with Citigroup and Calvert Global

The main advantage of trading using opposite Citigroup and Calvert Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Calvert Global 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 Global will offset losses from the drop in Calvert Global's long position.

The idea behind Citigroup and Calvert Global Water 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.

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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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.