Correlation Between CI Enhanced and CI Yield
Can any of the company-specific risk be diversified away by investing in both CI Enhanced 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 CI Enhanced and CI Yield into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CI Enhanced Short and CI Yield Enhanced, you can compare the effects of market volatilities on CI Enhanced 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 CI Enhanced with a short position of CI Yield. Check out your portfolio center. Please also check ongoing floating volatility patterns of CI Enhanced and CI Yield.
Diversification Opportunities for CI Enhanced and CI Yield
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between FSB and CAGG is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding CI Enhanced Short 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 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 Short 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 CI Enhanced i.e., CI Enhanced and CI Yield go up and down completely randomly.
Pair Corralation between CI Enhanced and CI Yield
Assuming the 90 days trading horizon CI Enhanced is expected to generate 2.72 times less return on investment than CI Yield. But when comparing it to its historical volatility, CI Enhanced Short is 1.89 times less risky than CI Yield. It trades about 0.05 of its potential returns per unit of risk. CI Yield Enhanced is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 4,442 in CI Yield Enhanced on September 1, 2024 and sell it today you would earn a total of 25.00 from holding CI Yield Enhanced or generate 0.56% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
CI Enhanced Short vs. CI Yield Enhanced
Performance |
| Timeline |
| CI Enhanced Short |
| CI Yield Enhanced |
CI Enhanced and CI Yield Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CI Enhanced and CI Yield
The main advantage of trading using opposite CI Enhanced and CI Yield positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CI Enhanced 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.| CI Enhanced vs. CI Investment Grade | CI Enhanced vs. CI Enhanced Government | CI Enhanced vs. CI Preferred Share | CI Enhanced vs. CI Short Term |
| 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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