Correlation Between Credit Suisse and Citigroup

By analyzing 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. Check out your portfolio center. Please also check ongoing floating volatility patterns of Credit Suisse and Citigroup.

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

Diversification Opportunities for Credit Suisse and Citigroup

0.93
  Correlation Coefficient
Credit Suisse Group
Citigroup

Almost no diversification

The 3 months correlation between Credit and Citigroup is 0.93. 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.

Pair Corralation between Credit Suisse and Citigroup

Allowing for the 30-days total investment horizon, Credit Suisse Group is expected to generate 0.7 times more return on investment than Citigroup. However, Credit Suisse Group is 1.43 times less risky than Citigroup. It trades about 0.14 of its potential returns per unit of risk. Citigroup is currently generating about 0.09 per unit of risk. If you would invest  809.00  in Credit Suisse Group on June 14, 2020 and sell it today you would earn a total of  236.00  from holding Credit Suisse Group or generate 29.17% return on investment over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy98.41%
ValuesDaily Returns

Credit Suisse Group  vs.  Citigroup Inc

 Performance (%) 
      Timeline 
Credit Suisse Group 
99

Credit Suisse Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Credit Suisse Group are ranked lower than 9 (%) of all global equities and portfolios over the last 30 days. In defiance of relatively weak forward indicators, Credit Suisse reported solid returns over the last few months and may actually be approaching a breakup point.
Citigroup 
66

Citigroup Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days. Despite somewhat weak technical and fundamental indicators, Citigroup sustained solid returns over the last few months and may actually be approaching a breakup point.

Credit Suisse and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 
Check out your portfolio center. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.


 
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