Correlation Between CITIC and SOGECLAIR

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

By analyzing existing cross correlation between CITIC Limited and SOGECLAIR SA INH, you can compare the effects of market volatilities on CITIC and SOGECLAIR 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 CITIC with a short position of SOGECLAIR. Check out your portfolio center. Please also check ongoing floating volatility patterns of CITIC and SOGECLAIR.

Diversification Opportunities for CITIC and SOGECLAIR

0.5

Correlation Coefficient

CITIC  SOGECLAIR

Very weak diversification

The 3 months correlation between CITIC and SOGECLAIR is 0.5. Overlapping area represents the amount of risk that can be diversified away by holding CITIC Limited and SOGECLAIR SA INH in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SOGECLAIR SA INH and CITIC 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 CITIC Limited are associated (or correlated) with SOGECLAIR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SOGECLAIR SA INH has no effect on the direction of CITIC i.e., CITIC and SOGECLAIR go up and down completely randomly.

Pair Corralation between CITIC and SOGECLAIR

Assuming the 90 days horizon CITIC is expected to generate 4.6 times less return on investment than SOGECLAIR. But when comparing it to its historical volatility, CITIC Limited is 1.67 times less risky than SOGECLAIR. It trades about 0.04 of its potential returns per unit of risk. SOGECLAIR SA INH is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  1,740  in SOGECLAIR SA INH on December 22, 2024 and sell it today you would earn a total of  470.00  from holding SOGECLAIR SA INH or generate 27.01% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

CITIC Limited  vs.  SOGECLAIR SA INH

CITIC Limited

Risk-Adjusted Performance

Insignificant

Over the last 90 days CITIC Limited has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly weak basic indicators, CITIC may actually be approaching a critical reversion point that can send shares even higher in April 2025.

SOGECLAIR SA INH

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in SOGECLAIR SA INH are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, SOGECLAIR reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with CITIC and SOGECLAIR

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

The idea behind CITIC Limited and SOGECLAIR SA INH 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 Money Managers module to screen money managers from public funds and ETFs managed around the world.