Correlation Between Global X and BMO MSCI
Can any of the company-specific risk be diversified away by investing in both Global X 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 Global X and BMO MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Global X SP and BMO MSCI USA, you can compare the effects of market volatilities on Global X 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 Global X with a short position of BMO MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Global X and BMO MSCI.
Diversification Opportunities for Global X and BMO MSCI
Very poor diversification
The 3 months correlation between Global and BMO is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Global X SP and BMO MSCI USA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BMO MSCI USA and Global X 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 Global X SP 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 USA has no effect on the direction of Global X i.e., Global X and BMO MSCI go up and down completely randomly.
Pair Corralation between Global X and BMO MSCI
Assuming the 90 days trading horizon Global X SP is expected to under-perform the BMO MSCI. In addition to that, Global X is 1.07 times more volatile than BMO MSCI USA. It trades about -0.12 of its total potential returns per unit of risk. BMO MSCI USA is currently generating about -0.08 per unit of volatility. If you would invest 9,294 in BMO MSCI USA on December 2, 2024 and sell it today you would lose (108.00) from holding BMO MSCI USA or give up 1.16% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Global X SP vs. BMO MSCI USA
Performance |
Timeline |
Global X SP |
BMO MSCI USA |
Global X and BMO MSCI Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Global X and BMO MSCI
The main advantage of trading using opposite Global X and BMO MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Global X 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.Global X vs. Global X SPTSX | Global X vs. Vanguard FTSE Developed | Global X vs. Global X Active | Global X vs. iShares SPTSX Capped |
BMO MSCI vs. BMO MSCI All | BMO MSCI vs. BMO Low Volatility | BMO MSCI vs. BMO MSCI Europe | BMO MSCI vs. BMO MSCI Emerging |
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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
Other Complementary Tools
Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities | |
ETFs Find actively traded Exchange Traded Funds (ETF) from around the world | |
Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals | |
Portfolio Center All portfolio management and optimization tools to improve performance of your portfolios | |
Bonds Directory Find actively traded corporate debentures issued by US companies |