Correlation Between CIBC Core and CI Yield
Can any of the company-specific risk be diversified away by investing in both CIBC Core and CI Yield 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 CIBC Core and CI Yield into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CIBC Core Fixed and CI Yield Enhanced, you can compare the effects of market volatilities on CIBC Core and CI Yield 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 CIBC Core with a short position of CI Yield. Check out your portfolio center. Please also check ongoing floating volatility patterns of CIBC Core and CI Yield.
Diversification Opportunities for CIBC Core and CI Yield
Poor diversification
The 3 months correlation between CIBC and CAGG is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding CIBC Core Fixed and CI Yield Enhanced in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CI Yield Enhanced and CIBC Core 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 CIBC Core Fixed are associated (or correlated) with CI Yield. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CI Yield Enhanced has no effect on the direction of CIBC Core i.e., CIBC Core and CI Yield go up and down completely randomly.
Pair Corralation between CIBC Core and CI Yield
Assuming the 90 days trading horizon CIBC Core Fixed is expected to generate 1.08 times more return on investment than CI Yield. However, CIBC Core is 1.08 times more volatile than CI Yield Enhanced. It trades about 0.12 of its potential returns per unit of risk. CI Yield Enhanced is currently generating about 0.07 per unit of risk. If you would invest 1,783 in CIBC Core Fixed on September 1, 2024 and sell it today you would earn a total of 19.00 from holding CIBC Core Fixed or generate 1.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
CIBC Core Fixed vs. CI Yield Enhanced
Performance |
| Timeline |
| CIBC Core Fixed |
| CI Yield Enhanced |
CIBC Core and CI Yield Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CIBC Core and CI Yield
The main advantage of trading using opposite CIBC Core and CI Yield positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CIBC Core position performs unexpectedly, CI Yield 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 Yield will offset losses from the drop in CI Yield's long position.| CIBC Core vs. BetaPro Gold Bullion | CIBC Core vs. BetaPro SP TSX | CIBC Core vs. BetaPro SPTSX Capped | CIBC Core vs. Global X Active |
| CI Yield vs. NBI High Yield | CI Yield vs. NBI Unconstrained Fixed | CI Yield vs. Mackenzie Developed ex North | CI Yield vs. BMO Short Term Bond |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
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