Correlation Between Citigroup and Calamos Global

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

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

Diversification Opportunities for Citigroup and Calamos Global

0.86

Correlation Coefficient

Citigroup  Calamos Global

Very poor diversification

The 3 months correlation between Citigroup and Calamos is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Calamos Global Vertible in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Global Vertible 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 Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Global Vertible has no effect on the direction of Citigroup i.e., Citigroup and Calamos Global go up and down completely randomly.

Pair Corralation between Citigroup and Calamos Global

Taking into account the 90-day investment horizon Citigroup is expected to generate 4.29 times more return on investment than Calamos Global. However, Citigroup is 4.29 times more volatile than Calamos Global Vertible. It trades about 0.21 of its potential returns per unit of risk. Calamos Global Vertible is currently generating about 0.23 per unit of risk. If you would invest  5,683  in Citigroup on September 12, 2024 and sell it today you would earn a total of  1,567  from holding Citigroup or generate 27.57% 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 Global Vertible

Citigroup

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Calamos Global Vertible

Risk-Adjusted Performance

18 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Global Vertible are ranked lower than 18 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak fundamental indicators, Calamos Global may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Citigroup and Calamos Global

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

The idea behind Citigroup and Calamos Global Vertible 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.