Correlation Between Citigroup and Eaton Vance

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

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

Diversification Opportunities for Citigroup and Eaton Vance

0.88

Correlation Coefficient

Citigroup  Eaton Vance

Very poor diversification

The 3 months correlation between Citigroup and Eaton is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Eaton Vance Floating Rate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Eaton Vance Floating 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 Eaton Vance. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Eaton Vance Floating has no effect on the direction of Citigroup i.e., Citigroup and Eaton Vance go up and down completely randomly.

Pair Corralation between Citigroup and Eaton Vance

Taking into account the 90-day investment horizon Citigroup is expected to generate 20.51 times more return on investment than Eaton Vance. However, Citigroup is 20.51 times more volatile than Eaton Vance Floating Rate. It trades about 0.08 of its potential returns per unit of risk. Eaton Vance Floating Rate is currently generating about -0.08 per unit of risk. If you would invest  6,975  in Citigroup on September 27, 2024 and sell it today you would earn a total of  125.00  from holding Citigroup or generate 1.79% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Eaton Vance Floating Rate

Citigroup

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) 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.

Eaton Vance Floating

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Eaton Vance Floating Rate are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Eaton Vance is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and Eaton Vance

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

The idea behind Citigroup and Eaton Vance Floating Rate 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.

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 Center module to all portfolio management and optimization tools to improve performance of your portfolios.