Correlation Between Citigroup and Swisscanto

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

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

Diversification Opportunities for Citigroup and Swisscanto

0.68

Correlation Coefficient

Citigroup  Swisscanto

Poor diversification

The 3 months correlation between Citigroup and Swisscanto is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Swisscanto CH Real in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Swisscanto CH Real 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 Swisscanto. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swisscanto CH Real has no effect on the direction of Citigroup i.e., Citigroup and Swisscanto go up and down completely randomly.

Pair Corralation between Citigroup and Swisscanto

Taking into account the 90-day investment horizon Citigroup is expected to generate 2.48 times more return on investment than Swisscanto. However, Citigroup is 2.48 times more volatile than Swisscanto CH Real. It trades about 0.06 of its potential returns per unit of risk. Swisscanto CH Real is currently generating about 0.05 per unit of risk. If you would invest  6,467  in Citigroup on September 28, 2024 and sell it today you would earn a total of  633.00  from holding Citigroup or generate 9.79% return on investment over 90 days.

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

Citigroup  vs.  Swisscanto CH Real

Citigroup

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 9 (%) 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.

Swisscanto CH Real

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Swisscanto CH Real are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of fairly stable fundamental indicators, Swisscanto is not utilizing all of its potentials. The current stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Pair Trading with Citigroup and Swisscanto

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

The idea behind Citigroup and Swisscanto CH Real 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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.