Correlation Between IShares Core and CIBC Active
Can any of the company-specific risk be diversified away by investing in both IShares Core and CIBC Active 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 IShares Core and CIBC Active into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Core Canadian and CIBC Active Investment, you can compare the effects of market volatilities on IShares Core and CIBC Active 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 IShares Core with a short position of CIBC Active. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and CIBC Active.
Diversification Opportunities for IShares Core and CIBC Active
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and CIBC is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core Canadian and CIBC Active Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CIBC Active Investment and IShares 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 iShares Core Canadian are associated (or correlated) with CIBC Active. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CIBC Active Investment has no effect on the direction of IShares Core i.e., IShares Core and CIBC Active go up and down completely randomly.
Pair Corralation between IShares Core and CIBC Active
Assuming the 90 days trading horizon iShares Core Canadian is expected to generate about the same return on investment as CIBC Active Investment. But, iShares Core Canadian is 1.1 times less risky than CIBC Active. It trades about 0.11 of its potential returns per unit of risk. CIBC Active Investment is currently generating about 0.1 per unit of risk. If you would invest 1,993 in CIBC Active Investment on August 28, 2024 and sell it today you would earn a total of 13.00 from holding CIBC Active Investment or generate 0.65% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Core Canadian vs. CIBC Active Investment
Performance |
| Timeline |
| iShares Core Canadian |
| CIBC Active Investment |
IShares Core and CIBC Active Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Core and CIBC Active
The main advantage of trading using opposite IShares Core and CIBC Active positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Core position performs unexpectedly, CIBC Active 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 CIBC Active will offset losses from the drop in CIBC Active's long position.| IShares Core vs. Franklin Global Aggregate | IShares Core vs. Franklin Large Cap | IShares Core vs. First Trust Senior | IShares Core vs. BMO Aggregate Bond |
| CIBC Active vs. Franklin Global Aggregate | CIBC Active vs. Franklin Large Cap | CIBC Active vs. First Trust Senior | CIBC Active vs. BMO Aggregate 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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
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