Correlation Between Citigroup and Swiss Life

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

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

Diversification Opportunities for Citigroup and Swiss Life

-0.67

Correlation Coefficient

Citigroup  Swiss Life

Excellent diversification

The 3 months correlation between Citigroup and Swiss is -0.67. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Swiss Life Holding in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Swiss Life Holding 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 Swiss Life. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swiss Life Holding has no effect on the direction of Citigroup i.e., Citigroup and Swiss Life go up and down completely randomly.

Pair Corralation between Citigroup and Swiss Life

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.98 times more return on investment than Swiss Life. However, Citigroup is 1.02 times less risky than Swiss Life. It trades about 0.08 of its potential returns per unit of risk. Swiss Life Holding is currently generating about 0.07 per unit of risk. If you would invest  4,091  in Citigroup on September 14, 2024 and sell it today you would earn a total of  3,010  from holding Citigroup or generate 73.58% return on investment over 90 days.

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

Citigroup  vs.  Swiss Life Holding

Citigroup

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 13 (%) 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.

Swiss Life Holding

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Swiss Life Holding has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly strong primary indicators, Swiss Life 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 Swiss Life

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

The idea behind Citigroup and Swiss Life Holding 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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.