Correlation Between CIBC Canadian and BMO MSCI
Can any of the company-specific risk be diversified away by investing in both CIBC Canadian and BMO MSCI 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 CIBC Canadian and BMO MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CIBC Canadian Equity and BMO MSCI EAFE, you can compare the effects of market volatilities on CIBC Canadian and BMO MSCI 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 CIBC Canadian with a short position of BMO MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of CIBC Canadian and BMO MSCI.
Diversification Opportunities for CIBC Canadian and BMO MSCI
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between CIBC and BMO is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding CIBC Canadian Equity and BMO MSCI EAFE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BMO MSCI EAFE and CIBC 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 CIBC Canadian Equity are associated (or correlated) with BMO MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BMO MSCI EAFE has no effect on the direction of CIBC Canadian i.e., CIBC Canadian and BMO MSCI go up and down completely randomly.
Pair Corralation between CIBC Canadian and BMO MSCI
Assuming the 90 days trading horizon CIBC Canadian Equity is expected to under-perform the BMO MSCI. In addition to that, CIBC Canadian is 1.1 times more volatile than BMO MSCI EAFE. It trades about -0.01 of its total potential returns per unit of risk. BMO MSCI EAFE is currently generating about 0.2 per unit of volatility. If you would invest 2,440 in BMO MSCI EAFE on December 2, 2024 and sell it today you would earn a total of 61.00 from holding BMO MSCI EAFE or generate 2.5% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
CIBC Canadian Equity vs. BMO MSCI EAFE
Performance |
Timeline |
CIBC Canadian Equity |
BMO MSCI EAFE |
CIBC Canadian and BMO MSCI Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with CIBC Canadian and BMO MSCI
The main advantage of trading using opposite CIBC Canadian and BMO MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CIBC Canadian position performs unexpectedly, BMO MSCI 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 BMO MSCI will offset losses from the drop in BMO MSCI's long position.CIBC Canadian vs. CIBC Core Fixed | CIBC Canadian vs. CIBC Clean Energy | CIBC Canadian vs. CIBC Conservative Fixed | CIBC Canadian vs. CIBC Qx Low |
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Check out your portfolio center.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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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