Correlation Between 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.
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.

Diversification Opportunities for Credit Suisse and Citigroup

0.83
  Correlation Coefficient

Very poor diversification

The 3 months correlation between Credit and Citigroup is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Credit Suisse Group and Citigroup 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 90-day total investment horizon Credit Suisse Group is expected to under-perform the Citigroup. In addition to that, Credit Suisse is 1.12 times more volatile than Citigroup. It trades about -0.04 of its total potential returns per unit of risk. Citigroup is currently generating about 0.01 per unit of volatility. If you would invest  4,843  in Citigroup on March 28, 2022 and sell it today you would lose (57.00)  from holding Citigroup or give up 1.18% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Credit Suisse Group  vs.  Citigroup

 Performance (%) 
      Timeline 
Credit Suisse Group 
Credit Performance
0 of 100
Over the last 90 days Credit Suisse Group has generated negative risk-adjusted returns adding no value to investors with long positions. Even with weak performance in the last few months, the Stock's basic indicators remain relatively invariable which may send shares a bit higher in July 2022. The latest agitation may also be a sign of long-running up-swing for the enterprise retail investors.

Structure and Payout Changes

Forward Annual Dividend Yield
0.0182
Payout Ratio
0.21
Last Split Factor
1024:1000
Forward Annual Dividend Rate
0.1
Dividend Date
2022-06-23
Ex Dividend Date
2022-05-09
Last Split Date
2013-05-01

Credit Price Channel

Citigroup 
Citigroup Performance
0 of 100
Over the last 90 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions. Despite inconsistent performance in the last few months, the Stock's fundamental indicators remain somewhat strong which may send shares a bit higher in July 2022. The current disturbance may also be a sign of long term up-swing for the company investors.

Structure and Payout Changes

Forward Annual Dividend Yield
0.0439
Payout Ratio
0.24
Last Split Factor
1:10
Forward Annual Dividend Rate
2.04
Dividend Date
2022-05-27
Ex Dividend Date
2022-04-29
Last Split Date
2011-05-09

Citigroup Price Channel

Credit Suisse and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

Pair Trading with Credit Suisse and Citigroup

The main advantage of trading using opposite Credit Suisse and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Credit Suisse position performs unexpectedly, Citigroup 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 Citigroup will offset losses from the drop in Citigroup's long position.
The idea behind Credit Suisse Group and Citigroup 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.
Check out your portfolio center. 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 Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.

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