Correlation Between CITIC Guoan and Changshu Tongrun
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By analyzing existing cross correlation between CITIC Guoan Information and Changshu Tongrun Auto, you can compare the effects of market volatilities on CITIC Guoan and Changshu Tongrun 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 CITIC Guoan with a short position of Changshu Tongrun. Check out your portfolio center. Please also check ongoing floating volatility patterns of CITIC Guoan and Changshu Tongrun.
Diversification Opportunities for CITIC Guoan and Changshu Tongrun
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between CITIC and Changshu is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding CITIC Guoan Information and Changshu Tongrun Auto in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Changshu Tongrun Auto and CITIC Guoan 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 CITIC Guoan Information are associated (or correlated) with Changshu Tongrun. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Changshu Tongrun Auto has no effect on the direction of CITIC Guoan i.e., CITIC Guoan and Changshu Tongrun go up and down completely randomly.
Pair Corralation between CITIC Guoan and Changshu Tongrun
Assuming the 90 days trading horizon CITIC Guoan Information is expected to under-perform the Changshu Tongrun. In addition to that, CITIC Guoan is 1.1 times more volatile than Changshu Tongrun Auto. It trades about -0.05 of its total potential returns per unit of risk. Changshu Tongrun Auto is currently generating about 0.08 per unit of volatility. If you would invest 1,785 in Changshu Tongrun Auto on September 1, 2024 and sell it today you would earn a total of 91.00 from holding Changshu Tongrun Auto or generate 5.1% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 95.65% |
| Values | Daily Returns |
CITIC Guoan Information vs. Changshu Tongrun Auto
Performance |
| Timeline |
| CITIC Guoan Information |
| Changshu Tongrun Auto |
CITIC Guoan and Changshu Tongrun Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CITIC Guoan and Changshu Tongrun
The main advantage of trading using opposite CITIC Guoan and Changshu Tongrun positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CITIC Guoan position performs unexpectedly, Changshu Tongrun 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 Changshu Tongrun will offset losses from the drop in Changshu Tongrun's long position.| CITIC Guoan vs. China Petroleum Chemical | CITIC Guoan vs. PetroChina Co Ltd | CITIC Guoan vs. China State Construction | CITIC Guoan vs. China Railway Group |
| Changshu Tongrun vs. CITIC Guoan Information | Changshu Tongrun vs. Invengo Information Technology | Changshu Tongrun vs. China Asset Management | Changshu Tongrun vs. Digital China Information |
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 the Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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