Correlation Between Citigroup and BMO Junior
Can any of the company-specific risk be diversified away by investing in both Citigroup and BMO Junior 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 Junior into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and BMO Junior Gold, you can compare the effects of market volatilities on Citigroup and BMO Junior 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 Junior. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and BMO Junior.
Diversification Opportunities for Citigroup and BMO Junior
0.22 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Citigroup and BMO is 0.22. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and BMO Junior Gold in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BMO Junior Gold 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 Junior. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BMO Junior Gold has no effect on the direction of Citigroup i.e., Citigroup and BMO Junior go up and down completely randomly.
Pair Corralation between Citigroup and BMO Junior
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.03 times more return on investment than BMO Junior. However, Citigroup is 1.03 times more volatile than BMO Junior Gold. It trades about 0.29 of its potential returns per unit of risk. BMO Junior Gold is currently generating about -0.1 per unit of risk. If you would invest 6,122 in Citigroup on August 26, 2024 and sell it today you would earn a total of 862.00 from holding Citigroup or generate 14.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. BMO Junior Gold
Performance |
| Timeline |
| Citigroup |
| BMO Junior Gold |
Citigroup and BMO Junior Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and BMO Junior
The main advantage of trading using opposite Citigroup and BMO Junior positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, BMO Junior 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 Junior will offset losses from the drop in BMO Junior's long position.| Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal |
| BMO Junior vs. BMO Equal Weight | BMO Junior vs. iShares SPTSX Global | BMO Junior vs. BMO SPTSX Equal | BMO Junior vs. iShares Gold Bullion |
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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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