Correlation Between CI Global and CI Signature

Can any of the company-specific risk be diversified away by investing in both CI Global and CI Signature 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 Global and CI Signature into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between CI Global Alpha and CI Signature Cat, you can compare the effects of market volatilities on CI Global and CI Signature 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 Global with a short position of CI Signature. Check out your portfolio center. Please also check ongoing floating volatility patterns of CI Global and CI Signature.

Diversification Opportunities for CI Global and CI Signature

0.86

Correlation Coefficient

CI Global  CI Signature

Very poor diversification

The 3 months correlation between 0P000070HA and 0P0001AAKP is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding CI Global Alpha and CI Signature Cat in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CI Signature Cat and CI Global 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 Global Alpha are associated (or correlated) with CI Signature. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CI Signature Cat has no effect on the direction of CI Global i.e., CI Global and CI Signature go up and down completely randomly.

Pair Corralation between CI Global and CI Signature

Assuming the 90 days trading horizon CI Global Alpha is expected to generate 1.0 times more return on investment than CI Signature. However, CI Global Alpha is 1.0 times less risky than CI Signature. It trades about 0.01 of its potential returns per unit of risk. CI Signature Cat is currently generating about -0.01 per unit of risk. If you would invest  10,491  in CI Global Alpha on November 29, 2024 and sell it today you would earn a total of  68.00  from holding CI Global Alpha or generate 0.65% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	98.33%
Values	Daily Returns

CI Global Alpha  vs.  CI Signature Cat

CI Global Alpha

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in CI Global Alpha are ranked lower than 1 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat strong basic indicators, CI Global is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

CI Signature Cat

Risk-Adjusted Performance

Very Weak

Over the last 90 days CI Signature Cat has generated negative risk-adjusted returns adding no value to fund investors. Despite somewhat strong basic indicators, CI Signature is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with CI Global and CI Signature

The main advantage of trading using opposite CI Global and CI Signature positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CI Global position performs unexpectedly, CI Signature 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 Signature will offset losses from the drop in CI Signature's long position.

The idea behind CI Global Alpha and CI Signature Cat pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.