Correlation Between CI Global and CI Signature

Can any of the company-specific risk be diversified away by investing in both CI Global and CI Signature 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 Signature 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 Signature Cat, you can compare the effects of market volatilities on CI Global and CI Signature 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 Signature. Check out your portfolio center. Please also check ongoing floating volatility patterns of CI Global and CI Signature.

Diversification Opportunities for CI Global and CI Signature

1.0

Correlation Coefficient

CI Global  CI Signature

No risk reduction

The 3 months correlation between 0P000070HA and 0P0001AAKP is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding CI Global Alpha and CI Signature Cat in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CI Signature Cat 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 Signature. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CI Signature Cat has no effect on the direction of CI Global i.e., CI Global and CI Signature go up and down completely randomly.

Pair Corralation between CI Global and CI Signature

Assuming the 90 days trading horizon CI Global is expected to generate 1.0 times less return on investment than CI Signature. But when comparing it to its historical volatility, CI Global Alpha is 1.0 times less risky than CI Signature. It trades about 0.27 of its potential returns per unit of risk. CI Signature Cat is currently generating about 0.27 of returns per unit of risk over similar time horizon. If you would invest  2,973  in CI Signature Cat on August 31, 2024 and sell it today you would earn a total of  702.00  from holding CI Signature Cat or generate 23.61% return on investment over 90 days.

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

CI Global Alpha  vs.  CI Signature Cat

CI Global Alpha

Risk-Adjusted Performance

21 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in CI Global Alpha are ranked lower than 21 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat weak basic indicators, CI Global sustained solid returns over the last few months and may actually be approaching a breakup point.

CI Signature Cat

Risk-Adjusted Performance

21 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in CI Signature Cat are ranked lower than 21 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat weak basic indicators, CI Signature sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with CI Global and CI Signature

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

The idea behind CI Global Alpha and CI Signature Cat 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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.