Correlation Between CI Enhanced and CI Investment
Can any of the company-specific risk be diversified away by investing in both CI Enhanced and CI Investment 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 Enhanced and CI Investment into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CI Enhanced Government and CI Investment Grade, you can compare the effects of market volatilities on CI Enhanced and CI Investment 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 Enhanced with a short position of CI Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of CI Enhanced and CI Investment.
Diversification Opportunities for CI Enhanced and CI Investment
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between FGO and FIG is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding CI Enhanced Government and CI Investment Grade in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CI Investment Grade and CI Enhanced 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 Enhanced Government are associated (or correlated) with CI Investment. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CI Investment Grade has no effect on the direction of CI Enhanced i.e., CI Enhanced and CI Investment go up and down completely randomly.
Pair Corralation between CI Enhanced and CI Investment
Assuming the 90 days trading horizon CI Enhanced is expected to generate 4.1 times less return on investment than CI Investment. But when comparing it to its historical volatility, CI Enhanced Government is 1.08 times less risky than CI Investment. It trades about 0.03 of its potential returns per unit of risk. CI Investment Grade is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 935.00 in CI Investment Grade on August 28, 2024 and sell it today you would earn a total of 8.00 from holding CI Investment Grade or generate 0.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
CI Enhanced Government vs. CI Investment Grade
Performance |
| Timeline |
| CI Enhanced Government |
| CI Investment Grade |
CI Enhanced and CI Investment Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CI Enhanced and CI Investment
The main advantage of trading using opposite CI Enhanced and CI Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CI Enhanced position performs unexpectedly, CI Investment 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 Investment will offset losses from the drop in CI Investment's long position.The idea behind CI Enhanced Government and CI Investment Grade pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| CI Investment vs. Mackenzie High Yield | CI Investment vs. Mackenzie Core Plus | CI Investment vs. Mackenzie Canadian Aggregate | CI Investment vs. Mackenzie Core Plus |
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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.
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