Correlation Between CITIC and Vanguard Funds

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

By analyzing existing cross correlation between CITIC Limited and Vanguard Funds Public, you can compare the effects of market volatilities on CITIC and Vanguard Funds 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 Vanguard Funds. Check out your portfolio center. Please also check ongoing floating volatility patterns of CITIC and Vanguard Funds.

Diversification Opportunities for CITIC and Vanguard Funds

-0.29

Correlation Coefficient

CITIC  Vanguard Funds

Very good diversification

The 3 months correlation between CITIC and Vanguard is -0.29. Overlapping area represents the amount of risk that can be diversified away by holding CITIC Limited and Vanguard Funds Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Funds Public 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 Vanguard Funds. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Funds Public has no effect on the direction of CITIC i.e., CITIC and Vanguard Funds go up and down completely randomly.

Pair Corralation between CITIC and Vanguard Funds

Assuming the 90 days horizon CITIC Limited is expected to generate 3.9 times more return on investment than Vanguard Funds. However, CITIC is 3.9 times more volatile than Vanguard Funds Public. It trades about 0.12 of its potential returns per unit of risk. Vanguard Funds Public is currently generating about 0.11 per unit of risk. If you would invest  63.00  in CITIC Limited on October 20, 2024 and sell it today you would earn a total of  41.00  from holding CITIC Limited or generate 65.08% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	99.2%
Values	Daily Returns

CITIC Limited  vs.  Vanguard Funds Public

CITIC Limited

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days CITIC Limited has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, CITIC is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Vanguard Funds Public

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Funds Public are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. Despite nearly unsteady basic indicators, Vanguard Funds may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Pair Trading with CITIC and Vanguard Funds

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

The idea behind CITIC Limited and Vanguard Funds Public 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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.