Correlation Between CI Yield and CI Enhanced
Can any of the company-specific risk be diversified away by investing in both CI Yield and CI Enhanced 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 CI Yield and CI Enhanced into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CI Yield Enhanced and CI Enhanced Short, you can compare the effects of market volatilities on CI Yield and CI Enhanced 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 CI Yield with a short position of CI Enhanced. Check out your portfolio center. Please also check ongoing floating volatility patterns of CI Yield and CI Enhanced.
Diversification Opportunities for CI Yield and CI Enhanced
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between CAGG and FSB is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding CI Yield Enhanced and CI Enhanced Short in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CI Enhanced Short and CI Yield 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 CI Yield Enhanced are associated (or correlated) with CI Enhanced. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CI Enhanced Short has no effect on the direction of CI Yield i.e., CI Yield and CI Enhanced go up and down completely randomly.
Pair Corralation between CI Yield and CI Enhanced
Assuming the 90 days trading horizon CI Yield Enhanced is expected to generate 2.16 times more return on investment than CI Enhanced. However, CI Yield is 2.16 times more volatile than CI Enhanced Short. It trades about 0.11 of its potential returns per unit of risk. CI Enhanced Short is currently generating about 0.14 per unit of risk. If you would invest 4,213 in CI Yield Enhanced on September 3, 2024 and sell it today you would earn a total of 254.00 from holding CI Yield Enhanced or generate 6.03% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
CI Yield Enhanced vs. CI Enhanced Short
Performance |
| Timeline |
| CI Yield Enhanced |
| CI Enhanced Short |
CI Yield and CI Enhanced Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CI Yield and CI Enhanced
The main advantage of trading using opposite CI Yield and CI Enhanced positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CI Yield position performs unexpectedly, CI Enhanced 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 CI Enhanced will offset losses from the drop in CI Enhanced's long position.| CI Yield vs. BMO Short Corporate | CI Yield vs. BMO High Yield | CI Yield vs. iShares Core Canadian | CI Yield vs. Harvest Global REIT |
| CI Enhanced vs. CI Investment Grade | CI Enhanced vs. CI Enhanced Government | CI Enhanced vs. CI Preferred Share | CI Enhanced vs. CI Short Term |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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