Correlation Analysis Between Citigroup and Credit Suisse

This module allows you to analyze existing cross correlation between Citigroup and Credit Suisse Group. You can compare the effects of market volatilities on Citigroup and Credit Suisse 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 Credit Suisse. See also your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Credit Suisse.
Horizon     30 Days    Login   to change
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Comparative Performance

Citigroup  
00

Risk-Adjusted Performance

Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest sluggish performance, the Stock's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.
Credit Suisse Group  
00

Risk-Adjusted Performance

Over the last 30 days Credit Suisse Group has generated negative risk-adjusted returns adding no value to investors with long positions. In defiance of relatively invariable forward-looking signals, Credit Suisse is not utilizing all of its potentials. The current stock price agitation, may contribute to short term losses for the management.

Citigroup and Credit Suisse Volatility Contrast

 Predicted Return Density 
      Returns 

Citigroup Inc  vs.  Credit Suisse Group

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to under-perform the Credit Suisse. In addition to that, Citigroup is 1.19 times more volatile than Credit Suisse Group. It trades about -0.08 of its total potential returns per unit of risk. Credit Suisse Group is currently generating about -0.04 per unit of volatility. If you would invest  1,166  in Credit Suisse Group on July 22, 2019 and sell it today you would lose (32.00)  from holding Credit Suisse Group or give up 2.74% of portfolio value over 30 days.

Pair Corralation between Citigroup and Credit Suisse

0.95
Time Period2 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Citigroup and Credit Suisse

Citigroup Inc diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and Credit Suisse Group in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Credit Suisse Group 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 Credit Suisse. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Credit Suisse Group has no effect on the direction of Citigroup i.e. Citigroup and Credit Suisse go up and down completely randomly.
See also your portfolio center. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.


 
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