Correlation Between Citigroup and Calvert International

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

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

Diversification Opportunities for Citigroup and Calvert International

-0.5

Correlation Coefficient

Citigroup  Calvert International

Very good diversification

The 3 months correlation between Citigroup and Calvert is -0.5. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Calvert International Opportun in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert International 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 International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert International has no effect on the direction of Citigroup i.e., Citigroup and Calvert International go up and down completely randomly.

Pair Corralation between Citigroup and Calvert International

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.07 times more return on investment than Calvert International. However, Citigroup is 2.07 times more volatile than Calvert International Opportunities. It trades about 0.04 of its potential returns per unit of risk. Calvert International Opportunities is currently generating about -0.4 per unit of risk. If you would invest  7,250  in Citigroup on October 11, 2024 and sell it today you would earn a total of  76.00  from holding Citigroup or generate 1.05% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Calvert International Opportun

Citigroup

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. In spite of rather weak fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Calvert International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Calvert International Opportunities has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's forward indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Citigroup and Calvert International

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

The idea behind Citigroup and Calvert International Opportunities 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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.