Correlation Between CI Marret and CI Munro

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

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

Diversification Opportunities for CI Marret and CI Munro

0.28

Correlation Coefficient

CI Marret  CI Munro

Modest diversification

The 3 months correlation between CMAR and CMAG is 0.28. Overlapping area represents the amount of risk that can be diversified away by holding CI Marret Alternative and CI Munro Alternative in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CI Munro Alternative and CI Marret 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 Marret Alternative are associated (or correlated) with CI Munro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CI Munro Alternative has no effect on the direction of CI Marret i.e., CI Marret and CI Munro go up and down completely randomly.

Pair Corralation between CI Marret and CI Munro

Assuming the 90 days trading horizon CI Marret is expected to generate 5.25 times less return on investment than CI Munro. But when comparing it to its historical volatility, CI Marret Alternative is 2.4 times less risky than CI Munro. It trades about 0.04 of its potential returns per unit of risk. CI Munro Alternative is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  2,350  in CI Munro Alternative on September 19, 2024 and sell it today you would earn a total of  1,400  from holding CI Munro Alternative or generate 59.57% return on investment over 90 days.

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

CI Marret Alternative  vs.  CI Munro Alternative

CI Marret Alternative

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days CI Marret Alternative has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy basic indicators, CI Marret is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

CI Munro Alternative

Risk-Adjusted Performance

10 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in CI Munro Alternative are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of very unfluctuating basic indicators, CI Munro may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with CI Marret and CI Munro

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

The idea behind CI Marret Alternative and CI Munro Alternative 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 Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.