Correlation Between Citigroup and Calvert Conservative

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

By analyzing existing cross correlation between Citigroup and Calvert Conservative Allocation, you can compare the effects of market volatilities on Citigroup and Calvert Conservative 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 Calvert Conservative. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Calvert Conservative.

Diversification Opportunities for Citigroup and Calvert Conservative

0.94

Correlation Coefficient

Citigroup  Calvert Conservative

Almost no diversification

The 3 months correlation between Citigroup and Calvert is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Calvert Conservative Allocatio in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Conservative 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 Calvert Conservative. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Conservative has no effect on the direction of Citigroup i.e., Citigroup and Calvert Conservative go up and down completely randomly.

Pair Corralation between Citigroup and Calvert Conservative

Taking into account the 90-day investment horizon Citigroup is expected to generate 4.4 times more return on investment than Calvert Conservative. However, Citigroup is 4.4 times more volatile than Calvert Conservative Allocation. It trades about 0.24 of its potential returns per unit of risk. Calvert Conservative Allocation is currently generating about 0.2 per unit of risk. If you would invest  7,442  in Citigroup on May 10, 2025 and sell it today you would earn a total of  1,681  from holding Citigroup or generate 22.59% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Calvert Conservative Allocatio

Citigroup

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 19 (%) of all global equities and portfolios over the last 90 days. In spite of rather unsteady fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Calvert Conservative

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Conservative Allocation are ranked lower than 15 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Calvert Conservative is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Citigroup and Calvert Conservative

The main advantage of trading using opposite Citigroup and Calvert Conservative positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Calvert Conservative 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 Calvert Conservative will offset losses from the drop in Calvert Conservative's long position.

The idea behind Citigroup and Calvert Conservative Allocation 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.

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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 the FinTech Suite module to use AI to screen and filter profitable investment opportunities.