CITIC Correlations

CPF0 Stock

EUR 5.75 0.05 0.88%

The current 90-days correlation between CITIC LTD ADR5 and Zijin Mining Group is 0.18 (i.e., Average diversification). The correlation of CITIC is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

CITIC Correlation With Market

Average diversification

The correlation between CITIC LTD ADR5 and DJI is 0.13 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding CITIC LTD ADR5 and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to CITIC could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace CITIC when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back CITIC - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling CITIC LTD ADR5 to buy it.

Moving together with CITIC Stock

0.83	CPF	CITIC Limited Earnings Call This Week	Pair Corr
0.73	MARA	Marubeni	Pair Corr
0.77	CJH	CanSino Biologics	Pair Corr
0.64	WY8	Universal Health Realty	Pair Corr
0.63	VVDH	Veolia Environnement	Pair Corr
0.64	E908	Lyxor 1	Pair Corr
0.73	DBPE	Xtrackers LevDAX	Pair Corr

Moving against CITIC Stock

0.74	PQ9	BANK MANDIRI	Pair Corr
0.7	DBPD	Xtrackers ShortDAX	Pair Corr
0.69	PQ9	PT Bank Mandiri	Pair Corr
0.67	PQ9	BANK MANDIRI	Pair Corr
0.64	ALD	Honeywell International	Pair Corr
0.63	PTI	Perusahaan Perseroan Earnings Call This Week	Pair Corr
0.6	BYRA	BANK RAKYAT IND	Pair Corr
0.59	PQ9	BANK MANDIRI	Pair Corr
0.55	BYRA	PT Bank Rakyat	Pair Corr
0.54	TCID	Telkom Indonesia Tbk Earnings Call This Week	Pair Corr
0.47	IOC	ITOCHU	Pair Corr
0.35	BYRA	PT Bank Rakyat	Pair Corr
0.32	BYRA	BANK RAKYAT IND	Pair Corr

Related Correlations Analysis

	US8	M0G	ZYR1	FJZ	VG8	W8V	3FNA
US8		-0.63	0.76	-0.28	-0.55	-0.59	-0.37	US8
M0G	-0.63		-0.48	0.68	0.22	0.69	0.51	M0G
ZYR1	0.76	-0.48		-0.27	-0.43	-0.56	-0.49	ZYR1
FJZ	-0.28	0.68	-0.27		0.26	0.58	0.44	FJZ
VG8	-0.55	0.22	-0.43	0.26		0.51	0.17	VG8
W8V	-0.59	0.69	-0.56	0.58	0.51		0.54	W8V
3FNA	-0.37	0.51	-0.49	0.44	0.17	0.54		3FNA
	US8	M0G	ZYR1	FJZ	VG8	W8V	3FNA

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

ZYR1	+ 0.76	US8
W8V	+ 0.69	M0G
FJZ	+ 0.68	M0G
W8V	+ 0.58	FJZ
3FNA	+ 0.54	W8V
3FNA	+ 0.51	M0G

High negative correlations

M0G	- 0.63	US8
W8V	- 0.59	US8
W8V	- 0.56	ZYR1
VG8	- 0.55	US8
3FNA	- 0.49	ZYR1
ZYR1	- 0.48	M0G

Risk-Adjusted Indicators

There is a big difference between CITIC Stock performing well and CITIC Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze CITIC's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
US8	2.41	(0.09)	0.00	(0.16)	0.00	0.00	5.19	(6.72)	15.74
M0G	2.62	0.34	0.13	0.33	2.36	(3.49)	6.52	(4.04)	15.69
ZYR1	3.16	0.00	0.00	(0.08)	0.00	0.00	8.28	(6.99)	27.35
FJZ	2.25	0.23	0.09	0.28	2.59	(2.76)	6.15	(5.26)	12.11
VG8	2.86	0.46	0.10	0.93	3.44	(4.06)	5.80	(7.14)	31.51
W8V	1.66	0.83	0.37	1.75	0.00	(4.03)	2.86	(1.89)	36.25
3FNA	3.44	0.15	0.05	(2.50)	3.96	(4.23)	9.60	(7.35)	22.54

Be your own money manager

Our tools can tell you how much better you can do entering a position in CITIC without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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