Correlation Between BMO Concentrated and CI Global

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

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

Diversification Opportunities for BMO Concentrated and CI Global

0.87

Correlation Coefficient

BMO Concentrated  CI Global

Very poor diversification

The 3 months correlation between BMO and 0P000070HA is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding BMO Concentrated Global and CI Global Alpha in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CI Global Alpha and BMO Concentrated 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 BMO Concentrated Global are associated (or correlated) with CI Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CI Global Alpha has no effect on the direction of BMO Concentrated i.e., BMO Concentrated and CI Global go up and down completely randomly.

Pair Corralation between BMO Concentrated and CI Global

Assuming the 90 days trading horizon BMO Concentrated is expected to generate 3.22 times less return on investment than CI Global. But when comparing it to its historical volatility, BMO Concentrated Global is 2.69 times less risky than CI Global. It trades about 0.22 of its potential returns per unit of risk. CI Global Alpha is currently generating about 0.26 of returns per unit of risk over similar time horizon. 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 Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

BMO Concentrated Global  vs.  CI Global Alpha

BMO Concentrated Global

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in BMO Concentrated Global are ranked lower than 17 (%) of all funds and portfolios of funds over the last 90 days. In spite of rather unfluctuating fundamental indicators, BMO Concentrated may actually be approaching a critical reversion point that can send shares even higher in January 2025.

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.

Pair Trading with BMO Concentrated and CI Global

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

The idea behind BMO Concentrated Global and CI Global Alpha 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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.