Correlation Between CI Global and Citadel Income

Can any of the company-specific risk be diversified away by investing in both CI Global and Citadel Income 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 Citadel Income 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 Citadel Income, you can compare the effects of market volatilities on CI Global and Citadel Income 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 Citadel Income. Check out your portfolio center. Please also check ongoing floating volatility patterns of CI Global and Citadel Income.

Diversification Opportunities for CI Global and Citadel Income

0.13

Correlation Coefficient

CI Global  Citadel Income

Average diversification

The 3 months correlation between CIG18006 and Citadel is 0.13. Overlapping area represents the amount of risk that can be diversified away by holding CI Global Alpha and Citadel Income in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citadel Income 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 Citadel Income. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citadel Income has no effect on the direction of CI Global i.e., CI Global and Citadel Income go up and down completely randomly.

Pair Corralation between CI Global and Citadel Income

Assuming the 90 days trading horizon CI Global Alpha is expected to generate 0.78 times more return on investment than Citadel Income. However, CI Global Alpha is 1.28 times less risky than Citadel Income. It trades about 0.14 of its potential returns per unit of risk. Citadel Income is currently generating about 0.03 per unit of risk. If you would invest  4,379  in CI Global Alpha on September 21, 2024 and sell it today you would earn a total of  6,603  from holding CI Global Alpha or generate 150.79% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	99.8%
Values	Daily Returns

CI Global Alpha  vs.  Citadel Income

CI Global Alpha

Risk-Adjusted Performance

19 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in CI Global Alpha are ranked lower than 19 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat weak basic indicators, CI Global sustained solid returns over the last few months and may actually be approaching a breakup point.

Citadel Income

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Citadel Income are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat strong technical and fundamental indicators, Citadel Income is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with CI Global and Citadel Income

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

The idea behind CI Global Alpha and Citadel Income 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.