Correlation Between BMO Canadian and CI Canada
Can any of the company-specific risk be diversified away by investing in both BMO Canadian and CI Canada 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 Canadian and CI Canada into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BMO Canadian High and CI Canada Quality, you can compare the effects of market volatilities on BMO Canadian and CI Canada 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 Canadian with a short position of CI Canada. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO Canadian and CI Canada.
Diversification Opportunities for BMO Canadian and CI Canada
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between BMO and DGRC is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding BMO Canadian High and CI Canada Quality in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CI Canada Quality and BMO 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 BMO Canadian High are associated (or correlated) with CI Canada. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CI Canada Quality has no effect on the direction of BMO Canadian i.e., BMO Canadian and CI Canada go up and down completely randomly.
Pair Corralation between BMO Canadian and CI Canada
Assuming the 90 days trading horizon BMO Canadian is expected to generate 1.98 times less return on investment than CI Canada. But when comparing it to its historical volatility, BMO Canadian High is 1.27 times less risky than CI Canada. It trades about 0.09 of its potential returns per unit of risk. CI Canada Quality is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 3,850 in CI Canada Quality on December 27, 2024 and sell it today you would earn a total of 226.00 from holding CI Canada Quality or generate 5.87% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 98.41% |
Values | Daily Returns |
BMO Canadian High vs. CI Canada Quality
Performance |
Timeline |
BMO Canadian High |
CI Canada Quality |
BMO Canadian and CI Canada Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with BMO Canadian and CI Canada
The main advantage of trading using opposite BMO Canadian and CI Canada positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO Canadian position performs unexpectedly, CI Canada 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 Canada will offset losses from the drop in CI Canada's long position.BMO Canadian vs. BMO Short Term Bond | BMO Canadian vs. BMO Canadian Bank | BMO Canadian vs. BMO Aggregate Bond | BMO Canadian vs. BMO Balanced ETF |
CI Canada vs. iShares Core MSCI | CI Canada vs. SPDR Portfolio Emerging | CI Canada vs. SPDR Portfolio SP | CI Canada vs. iShares Canadian Short |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
Other Complementary Tools
Money Managers Screen money managers from public funds and ETFs managed around the world | |
Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities | |
Instant Ratings Determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account | |
Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals |