Correlation Between CITIC and CITIC Securities

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

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

Diversification Opportunities for CITIC and CITIC Securities

0.34

Correlation Coefficient

CITIC  CITIC Securities

Weak diversification

The 3 months correlation between CITIC and CITIC is 0.34. Overlapping area represents the amount of risk that can be diversified away by holding CITIC and CITIC Securities in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CITIC Securities 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 are associated (or correlated) with CITIC Securities. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CITIC Securities has no effect on the direction of CITIC i.e., CITIC and CITIC Securities go up and down completely randomly.

Pair Corralation between CITIC and CITIC Securities

Assuming the 90 days trading horizon CITIC is expected to generate 0.52 times more return on investment than CITIC Securities. However, CITIC is 1.9 times less risky than CITIC Securities. It trades about -0.16 of its potential returns per unit of risk. CITIC Securities is currently generating about -0.18 per unit of risk. If you would invest  111.00  in CITIC on October 8, 2024 and sell it today you would lose (5.00) from holding CITIC or give up 4.5% of portfolio value over 90 days.

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

CITIC  vs.  CITIC Securities

CITIC

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days CITIC has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, CITIC is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

CITIC Securities

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with CITIC and CITIC Securities

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

The idea behind CITIC and CITIC Securities 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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.