Correlation Between China Citic and CITIC Guoan
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By analyzing existing cross correlation between China Citic Bank and CITIC Guoan Information, you can compare the effects of market volatilities on China Citic and CITIC Guoan 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 China Citic with a short position of CITIC Guoan. Check out your portfolio center. Please also check ongoing floating volatility patterns of China Citic and CITIC Guoan.
Diversification Opportunities for China Citic and CITIC Guoan
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between China and CITIC is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding China Citic Bank and CITIC Guoan Information in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CITIC Guoan Information and China Citic 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 China Citic Bank are associated (or correlated) with CITIC Guoan. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CITIC Guoan Information has no effect on the direction of China Citic i.e., China Citic and CITIC Guoan go up and down completely randomly.
Pair Corralation between China Citic and CITIC Guoan
Assuming the 90 days trading horizon China Citic Bank is expected to generate 0.54 times more return on investment than CITIC Guoan. However, China Citic Bank is 1.85 times less risky than CITIC Guoan. It trades about 0.19 of its potential returns per unit of risk. CITIC Guoan Information is currently generating about -0.06 per unit of risk. If you would invest 654.00 in China Citic Bank on September 13, 2024 and sell it today you would earn a total of 40.00 from holding China Citic Bank or generate 6.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
China Citic Bank vs. CITIC Guoan Information
Performance |
| Timeline |
| China Citic Bank |
| CITIC Guoan Information |
China Citic and CITIC Guoan Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with China Citic and CITIC Guoan
The main advantage of trading using opposite China Citic and CITIC Guoan positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if China Citic position performs unexpectedly, CITIC Guoan 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 CITIC Guoan will offset losses from the drop in CITIC Guoan's long position.| China Citic vs. China Asset Management | China Citic vs. Anhui Huaren Health | China Citic vs. Shenzhen Centralcon Investment | China Citic vs. BTG Hotels Group |
| CITIC Guoan vs. Lutian Machinery Co | CITIC Guoan vs. PetroChina Co Ltd | CITIC Guoan vs. Bank of China | CITIC Guoan vs. China Citic Bank |
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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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