Correlation Between Vanguard FTSE and CI Global
Can any of the company-specific risk be diversified away by investing in both Vanguard FTSE and CI Global 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 Vanguard FTSE and CI Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard FTSE Canadian and CI Global REIT, you can compare the effects of market volatilities on Vanguard FTSE and CI Global 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 Vanguard FTSE with a short position of CI Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard FTSE and CI Global.
Diversification Opportunities for Vanguard FTSE and CI Global
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Vanguard and CGRE is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Canadian and CI Global REIT in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CI Global REIT and Vanguard FTSE 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 Vanguard FTSE Canadian are associated (or correlated) with CI Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CI Global REIT has no effect on the direction of Vanguard FTSE i.e., Vanguard FTSE and CI Global go up and down completely randomly.
Pair Corralation between Vanguard FTSE and CI Global
Assuming the 90 days trading horizon Vanguard FTSE Canadian is expected to under-perform the CI Global. In addition to that, Vanguard FTSE is 1.07 times more volatile than CI Global REIT. It trades about -0.23 of its total potential returns per unit of risk. CI Global REIT is currently generating about -0.24 per unit of volatility. If you would invest 2,271 in CI Global REIT on August 24, 2024 and sell it today you would lose (71.00) from holding CI Global REIT or give up 3.13% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard FTSE Canadian vs. CI Global REIT
Performance |
| Timeline |
| Vanguard FTSE Canadian |
| CI Global REIT |
Vanguard FTSE and CI Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard FTSE and CI Global
The main advantage of trading using opposite Vanguard FTSE and CI Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard FTSE position performs unexpectedly, CI Global 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 Global will offset losses from the drop in CI Global's long position.| Vanguard FTSE vs. Vanguard FTSE Canadian | Vanguard FTSE vs. iShares SPTSX Composite | Vanguard FTSE vs. iShares SPTSX Capped | Vanguard FTSE vs. BMO Equal Weight |
| CI Global vs. CI Global Real | CI Global vs. CI Global Infrastructure | CI Global vs. CI Canadian REIT | CI Global vs. Global X Equal |
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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
Other Complementary Tools
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Economic Indicators Top statistical indicators that provide insights into how an economy is performing | |
| Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments | |
| Global Markets Map Get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes | |
| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators |