Correlation Between CITIC and Jardine Matheson

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

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

Diversification Opportunities for CITIC and Jardine Matheson

0.56

Correlation Coefficient

CITIC  Jardine Matheson

Very weak diversification

The 3 months correlation between CITIC and Jardine is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding CITIC Limited and Jardine Matheson Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jardine Matheson Holdings 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 Jardine Matheson. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jardine Matheson Holdings has no effect on the direction of CITIC i.e., CITIC and Jardine Matheson go up and down completely randomly.

Pair Corralation between CITIC and Jardine Matheson

Assuming the 90 days horizon CITIC Limited is expected to under-perform the Jardine Matheson. But the pink sheet apears to be less risky and, when comparing its historical volatility, CITIC Limited is 1.66 times less risky than Jardine Matheson. The pink sheet trades about -0.15 of its potential returns per unit of risk. The Jardine Matheson Holdings is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest  4,114  in Jardine Matheson Holdings on December 1, 2024 and sell it today you would lose (156.00) from holding Jardine Matheson Holdings or give up 3.79% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	95.24%
Values	Daily Returns

CITIC Limited  vs.  Jardine Matheson Holdings

CITIC Limited

Risk-Adjusted Performance

Very Weak

Over the last 90 days CITIC Limited has generated negative risk-adjusted returns adding no value to investors with long positions. Despite inconsistent performance in the last few months, the Stock's fundamental indicators remain nearly stable which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

Jardine Matheson Holdings

Risk-Adjusted Performance

Very Weak

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

Pair Trading with CITIC and Jardine Matheson

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

The idea behind CITIC Limited and Jardine Matheson Holdings 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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.