Correlation Between CITIC and Marubeni
Can any of the company-specific risk be diversified away by investing in both CITIC and Marubeni 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 Marubeni into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CITIC Limited and Marubeni, you can compare the effects of market volatilities on CITIC and Marubeni 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 Marubeni. Check out your portfolio center. Please also check ongoing floating volatility patterns of CITIC and Marubeni.
Diversification Opportunities for CITIC and Marubeni
Average diversification
The 3 months correlation between CITIC and Marubeni is 0.19. Overlapping area represents the amount of risk that can be diversified away by holding CITIC Limited and Marubeni in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Marubeni 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 Marubeni. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Marubeni has no effect on the direction of CITIC i.e., CITIC and Marubeni go up and down completely randomly.
Pair Corralation between CITIC and Marubeni
Assuming the 90 days horizon CITIC Limited is expected to generate 1.45 times more return on investment than Marubeni. However, CITIC is 1.45 times more volatile than Marubeni. It trades about 0.03 of its potential returns per unit of risk. Marubeni is currently generating about -0.24 per unit of risk. If you would invest 105.00 in CITIC Limited on September 23, 2024 and sell it today you would earn a total of 1.00 from holding CITIC Limited or generate 0.95% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
CITIC Limited vs. Marubeni
Performance |
Timeline |
CITIC Limited |
Marubeni |
CITIC and Marubeni Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with CITIC and Marubeni
The main advantage of trading using opposite CITIC and Marubeni positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CITIC position performs unexpectedly, Marubeni 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 Marubeni will offset losses from the drop in Marubeni's long position.The idea behind CITIC Limited and Marubeni 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.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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
Other Complementary Tools
Economic Indicators Top statistical indicators that provide insights into how an economy is performing | |
Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments | |
Money Managers Screen money managers from public funds and ETFs managed around the world | |
AI Portfolio Architect Use AI to generate optimal portfolios and find profitable investment opportunities | |
Latest Portfolios Quick portfolio dashboard that showcases your latest portfolios |