Correlation Between Sumitomo Mitsui and CITIC
Can any of the company-specific risk be diversified away by investing in both Sumitomo Mitsui and CITIC 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 Sumitomo Mitsui and CITIC into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sumitomo Mitsui Construction and CITIC LTD ADR5, you can compare the effects of market volatilities on Sumitomo Mitsui and CITIC 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 Sumitomo Mitsui with a short position of CITIC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sumitomo Mitsui and CITIC.
Diversification Opportunities for Sumitomo Mitsui and CITIC
0.01 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Sumitomo and CITIC is 0.01. Overlapping area represents the amount of risk that can be diversified away by holding Sumitomo Mitsui Construction and CITIC LTD ADR5 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CITIC LTD ADR5 and Sumitomo Mitsui 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 Sumitomo Mitsui Construction are associated (or correlated) with CITIC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CITIC LTD ADR5 has no effect on the direction of Sumitomo Mitsui i.e., Sumitomo Mitsui and CITIC go up and down completely randomly.
Pair Corralation between Sumitomo Mitsui and CITIC
Assuming the 90 days horizon Sumitomo Mitsui Construction is expected to generate 1.0 times more return on investment than CITIC. However, Sumitomo Mitsui is 1.0 times more volatile than CITIC LTD ADR5. It trades about 0.46 of its potential returns per unit of risk. CITIC LTD ADR5 is currently generating about -0.02 per unit of risk. If you would invest 220.00 in Sumitomo Mitsui Construction on September 20, 2024 and sell it today you would earn a total of 40.00 from holding Sumitomo Mitsui Construction or generate 18.18% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 95.65% |
| Values | Daily Returns |
Sumitomo Mitsui Construction vs. CITIC LTD ADR5
Performance |
| Timeline |
| Sumitomo Mitsui Cons |
| CITIC LTD ADR5 |
Sumitomo Mitsui and CITIC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sumitomo Mitsui and CITIC
The main advantage of trading using opposite Sumitomo Mitsui and CITIC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sumitomo Mitsui position performs unexpectedly, CITIC 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 will offset losses from the drop in CITIC's long position.| Sumitomo Mitsui vs. Apple Inc | Sumitomo Mitsui vs. Apple Inc | Sumitomo Mitsui vs. Apple Inc | Sumitomo Mitsui vs. Microsoft |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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