Correlation Between CI Global and CI Black

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

By analyzing existing cross correlation between CI Global Alpha and CI Black Creek, you can compare the effects of market volatilities on CI Global and CI Black 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 CI Global with a short position of CI Black. Check out your portfolio center. Please also check ongoing floating volatility patterns of CI Global and CI Black.

Diversification Opportunities for CI Global and CI Black

-0.05

Correlation Coefficient

CI Global  CI Black

Good diversification

The 3 months correlation between 0P000070HA and 0P0000752C is -0.05. Overlapping area represents the amount of risk that can be diversified away by holding CI Global Alpha and CI Black Creek in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CI Black Creek and CI Global 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 CI Global Alpha are associated (or correlated) with CI Black. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CI Black Creek has no effect on the direction of CI Global i.e., CI Global and CI Black go up and down completely randomly.

Pair Corralation between CI Global and CI Black

Assuming the 90 days trading horizon CI Global Alpha is expected to generate 1.69 times more return on investment than CI Black. However, CI Global is 1.69 times more volatile than CI Black Creek. It trades about 0.26 of its potential returns per unit of risk. CI Black Creek is currently generating about -0.01 per unit of risk. If you would invest  8,415  in CI Global Alpha on September 3, 2024 and sell it today you would earn a total of  1,965  from holding CI Global Alpha or generate 23.35% return on investment over 90 days.

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

CI Global Alpha  vs.  CI Black Creek

CI Global Alpha

Risk-Adjusted Performance

20 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in CI Global Alpha are ranked lower than 20 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat unfluctuating basic indicators, CI Global sustained solid returns over the last few months and may actually be approaching a breakup point.

CI Black Creek

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days CI Black Creek has generated negative risk-adjusted returns adding no value to fund investors. Despite somewhat strong basic indicators, CI Black is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with CI Global and CI Black

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

The idea behind CI Global Alpha and CI Black Creek 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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.