CITIC Correlations

CPF0 Stock

EUR 5.15 0.20 3.74%

The current 90-days correlation between CITIC LTD ADR5 and Superior Plus Corp is 0.07 (i.e., Significant diversification). The correlation of CITIC is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

CITIC Correlation With Market

Good diversification

The correlation between CITIC LTD ADR5 and DJI is -0.16 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding CITIC LTD ADR5 and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to CITIC could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace CITIC when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back CITIC - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling CITIC LTD ADR5 to buy it.

Moving together with CITIC Stock

0.8	HIA1	Hitachi	Pair Corr
0.99	CPF	CITIC Limited	Pair Corr
0.74	2CK	CK Hutchison Holdings	Pair Corr
0.87	UN3	United Natural Foods	Pair Corr
0.84	EK7	AGRICUL BK CHINA	Pair Corr
0.83	N3Y	Nine Dragons Paper	Pair Corr
0.8	DBPE	Xtrackers LevDAX	Pair Corr

Moving against CITIC Stock

0.82	DBPD	Xtrackers ShortDAX	Pair Corr
0.38	MBI	Mitsubishi	Pair Corr

Related Correlations Analysis

	8SP	6NM	39O1	2DG	TLX	TM9	INVN	IUI1	6HW	VOW
8SP		0.6	0.25	0.69	0.38	0.27	-0.72	-0.84	0.56	0.76	8SP
6NM	0.6		0.5	0.09	0.19	0.14	-0.31	-0.39	0.08	0.27	6NM
39O1	0.25	0.5		0.03	-0.21	0.35	0.01	-0.18	-0.22	0.2	39O1
2DG	0.69	0.09	0.03		0.26	0.22	-0.75	-0.84	0.8	0.89	2DG
TLX	0.38	0.19	-0.21	0.26		0.05	-0.26	-0.22	0.53	0.3	TLX
TM9	0.27	0.14	0.35	0.22	0.05		0.0	-0.26	0.01	0.31	TM9
INVN	-0.72	-0.31	0.01	-0.75	-0.26	0.0		0.82	-0.69	-0.68	INVN
IUI1	-0.84	-0.39	-0.18	-0.84	-0.22	-0.26	0.82		-0.62	-0.83	IUI1
6HW	0.56	0.08	-0.22	0.8	0.53	0.01	-0.69	-0.62		0.71	6HW
VOW	0.76	0.27	0.2	0.89	0.3	0.31	-0.68	-0.83	0.71		VOW
	8SP	6NM	39O1	2DG	TLX	TM9	INVN	IUI1	6HW	VOW

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

VOW	+ 0.89	2DG
IUI1	+ 0.82	INVN
6HW	+ 0.8	2DG
VOW	+ 0.76	8SP
VOW	+ 0.71	6HW
2DG	+ 0.69	8SP

High negative correlations

IUI1	- 0.84	2DG
IUI1	- 0.84	8SP
VOW	- 0.83	IUI1
INVN	- 0.75	2DG
INVN	- 0.72	8SP
6HW	- 0.69	INVN

Risk-Adjusted Indicators

There is a big difference between CITIC Stock performing well and CITIC Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze CITIC's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
8SP	2.15	(0.05)	0.00	0.17	0.00	0.00	3.43	(4.74)	21.59
6NM	1.20	0.08	(0.02)	(0.14)	1.75	(1.29)	2.79	(2.69)	9.64
39O1	3.91	0.32	0.07	0.61	3.52	(5.55)	9.64	(5.38)	34.42
2DG	3.88	(1.67)	0.00	(16.40)	0.00	0.00	6.06	(8.57)	52.42
TLX	0.97	0.04	(0.06)	(0.87)	1.14	(1.11)	2.67	(1.64)	7.58
TM9	2.80	(0.01)	(0.02)	0.08	4.32	(3.01)	5.56	(6.43)	36.50
INVN	2.17	0.17	0.02	(0.67)	2.57	(2.55)	5.61	(4.98)	14.01
IUI1	1.20	0.21	0.11	0.95	1.08	(1.37)	2.87	(1.96)	10.01
6HW	0.42	(0.10)	0.00	0.87	0.00	0.00	1.21	(1.80)	5.39
VOW	1.23	(0.33)	0.00	257.58	0.00	0.00	2.12	(2.99)	9.42

Be your own money manager

Our tools can tell you how much better you can do entering a position in CITIC without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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