Correlation Between CI Canadian and Vanguard FTSE

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

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

Diversification Opportunities for CI Canadian and Vanguard FTSE

0.92

Correlation Coefficient

CI Canadian  Vanguard FTSE

Almost no diversification

The 3 months correlation between RIT and Vanguard is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding CI Canadian REIT and Vanguard FTSE Canadian in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard FTSE Canadian and CI Canadian 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 Canadian REIT are associated (or correlated) with Vanguard FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard FTSE Canadian has no effect on the direction of CI Canadian i.e., CI Canadian and Vanguard FTSE go up and down completely randomly.

Pair Corralation between CI Canadian and Vanguard FTSE

Assuming the 90 days trading horizon CI Canadian REIT is expected to under-perform the Vanguard FTSE. But the etf apears to be less risky and, when comparing its historical volatility, CI Canadian REIT is 1.08 times less risky than Vanguard FTSE. The etf trades about -0.04 of its potential returns per unit of risk. The Vanguard FTSE Canadian is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  3,309  in Vanguard FTSE Canadian on August 31, 2024 and sell it today you would earn a total of  55.00  from holding Vanguard FTSE Canadian or generate 1.66% return on investment over 90 days.

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

CI Canadian REIT  vs.  Vanguard FTSE Canadian

CI Canadian REIT

Risk-Adjusted Performance

0 of 100

Very Weak

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

Vanguard FTSE Canadian

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard FTSE Canadian are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy technical and fundamental indicators, Vanguard FTSE is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with CI Canadian and Vanguard FTSE

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

The idea behind CI Canadian REIT and Vanguard FTSE Canadian 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.