Correlation Between Citigroup and Calvert Green

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

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

Diversification Opportunities for Citigroup and Calvert Green

0.77

Correlation Coefficient

Citigroup  Calvert Green

Poor diversification

The 3 months correlation between Citigroup and Calvert is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Calvert Green Bond in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Green Bond 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 Green. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Green Bond has no effect on the direction of Citigroup i.e., Citigroup and Calvert Green go up and down completely randomly.

Pair Corralation between Citigroup and Calvert Green

Taking into account the 90-day investment horizon Citigroup is expected to generate 5.88 times more return on investment than Calvert Green. However, Citigroup is 5.88 times more volatile than Calvert Green Bond. It trades about 0.37 of its potential returns per unit of risk. Calvert Green Bond is currently generating about 0.06 per unit of risk. If you would invest  6,760  in Citigroup on May 1, 2025 and sell it today you would earn a total of  2,688  from holding Citigroup or generate 39.76% return on investment over 90 days.

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

Citigroup  vs.  Calvert Green Bond

Citigroup

Risk-Adjusted Performance

Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 29 (%) 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 Green Bond

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Green Bond are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Calvert Green 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 Green

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

The idea behind Citigroup and Calvert Green Bond 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.