Correlation Analysis Between Credit Suisse and Citigroup

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

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  
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 somewhat strong basic indicators, Citigroup is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short term losses for the investors.

Credit Suisse and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

Credit Suisse Group  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, Credit Suisse Group is expected to under-perform the Citigroup. But the stock apears to be less risky and, when comparing its historical volatility, Credit Suisse Group is 1.25 times less risky than Citigroup. The stock trades about 0.0 of its potential returns per unit of risk. The Citigroup is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest  7,145  in Citigroup on September 21, 2019 and sell it today you would earn a total of  1.00  from holding Citigroup or generate 0.01% return on investment over 30 days.

Pair Corralation between Credit Suisse and Citigroup

0.76
Time Period3 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Credit Suisse and Citigroup

Credit Suisse Group diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Credit Suisse Group and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup 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 Citigroup. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citigroup has no effect on the direction of Credit Suisse i.e. Credit Suisse and Citigroup go up and down completely randomly.
See also your portfolio center. Please also try Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.


 
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