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Correlation Between Credit Suisse and Barclays PLC

Analyzing existing cross correlation between Credit Suisse Group and Barclays PLC. You can compare the effects of market volatilities on Credit Suisse and Barclays PLC 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 Credit Suisse with a short position of Barclays PLC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Credit Suisse and Barclays PLC.

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Diversification Opportunities for Credit Suisse and Barclays PLC

Credit Suisse Group diversification synergy
0.6
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Poor diversification

The 3 months correlation between Credit and Barclays is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Credit Suisse Group and Barclays PLC in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Barclays PLC and Credit Suisse 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 Credit Suisse Group are associated (or correlated) with Barclays PLC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Barclays PLC has no effect on the direction of Credit Suisse i.e. Credit Suisse and Barclays PLC go up and down completely randomly.

Pair Corralation between Credit Suisse and Barclays PLC

Allowing for the 30-days total investment horizon, Credit Suisse is expected to generate 2.03 times less return on investment than Barclays PLC. But when comparing it to its historical volatility, Credit Suisse Group is 1.41 times less risky than Barclays PLC. It trades about 0.04 of its potential returns per unit of risk. Barclays PLC is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  879.00  in Barclays PLC on January 25, 2020 and sell it today you would earn a total of  48.00  from holding Barclays PLC or generate 5.46% return on investment over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Credit Suisse Group  vs.  Barclays PLC

 Performance (%) 
    
  Timeline 
Credit Suisse Group 
22

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Credit Suisse Group are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days. 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.
Barclays PLC 
44

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Barclays PLC are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days. In defiance of relatively invariable forward-looking signals, Barclays PLC is not utilizing all of its potentials. The current stock price agitation, may contribute to short term losses for the management.

Credit Suisse and Barclays PLC Volatility Contrast

 Predicted Return Density 
    
  Returns 
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