Correlation Between Citigroup and BMO MSCI
Can any of the company-specific risk be diversified away by investing in both Citigroup 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 Citigroup and BMO MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and BMO MSCI Canada, you can compare the effects of market volatilities on Citigroup 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 Citigroup with a short position of BMO MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and BMO MSCI.
Diversification Opportunities for Citigroup and BMO MSCI
Almost no diversification
The 3 months correlation between Citigroup and BMO is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and BMO MSCI Canada in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BMO MSCI Canada and Citigroup 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 Citigroup 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 Canada has no effect on the direction of Citigroup i.e., Citigroup and BMO MSCI go up and down completely randomly.
Pair Corralation between Citigroup and BMO MSCI
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.36 times more return on investment than BMO MSCI. However, Citigroup is 1.36 times more volatile than BMO MSCI Canada. It trades about 0.08 of its potential returns per unit of risk. BMO MSCI Canada is currently generating about 0.07 per unit of risk. If you would invest 4,054 in Citigroup on September 12, 2024 and sell it today you would earn a total of 3,196 from holding Citigroup or generate 78.84% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 97.58% |
| Values | Daily Returns |
Citigroup vs. BMO MSCI Canada
Performance |
| Timeline |
| Citigroup |
| BMO MSCI Canada |
Citigroup and BMO MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and BMO MSCI
The main advantage of trading using opposite Citigroup and BMO MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup 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.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| BMO MSCI vs. BMO MSCI USA | BMO MSCI vs. BMO MSCI Global | BMO MSCI vs. BMO MSCI EAFE | BMO MSCI vs. BMO Balanced ESG |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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