Correlation Between DAX Index and CITIC
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By analyzing existing cross correlation between DAX Index and CITIC LTD ADR5, you can compare the effects of market volatilities on DAX Index 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 DAX Index with a short position of CITIC. Check out your portfolio center. Please also check ongoing floating volatility patterns of DAX Index and CITIC.
Diversification Opportunities for DAX Index and CITIC
Very poor diversification
The 3 months correlation between DAX and CITIC is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding DAX Index 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 DAX Index 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 DAX Index 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 DAX Index i.e., DAX Index and CITIC go up and down completely randomly.
Pair Corralation between DAX Index and CITIC
Assuming the 90 days trading horizon DAX Index is expected to generate 0.44 times more return on investment than CITIC. However, DAX Index is 2.28 times less risky than CITIC. It trades about -0.05 of its potential returns per unit of risk. CITIC LTD ADR5 is currently generating about -0.11 per unit of risk. If you would invest 1,953,162 in DAX Index on August 29, 2024 and sell it today you would lose (23,564) from holding DAX Index or give up 1.21% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
DAX Index vs. CITIC LTD ADR5
Performance |
| Timeline |
DAX Index and CITIC Volatility Contrast
Predicted Return Density |
| Returns |
DAX Index
Pair trading matchups for DAX Index
CITIC LTD ADR5
Pair trading matchups for CITIC
Pair Trading with DAX Index and CITIC
The main advantage of trading using opposite DAX Index and CITIC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if DAX Index 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.| DAX Index vs. ELMOS SEMICONDUCTOR | DAX Index vs. ALTAIR RES INC | DAX Index vs. Fair Isaac Corp | DAX Index vs. Taiwan Semiconductor Manufacturing |
| CITIC vs. Superior Plus Corp | CITIC vs. NMI Holdings | CITIC vs. Origin Agritech | CITIC vs. SIVERS SEMICONDUCTORS AB |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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