Correlation Between Citigroup and BMO Put
Can any of the company-specific risk be diversified away by investing in both Citigroup and BMO Put 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 Put into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and BMO Put Write, you can compare the effects of market volatilities on Citigroup and BMO Put 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 Put. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and BMO Put.
Diversification Opportunities for Citigroup and BMO Put
Very poor diversification
The 3 months correlation between Citigroup and BMO is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and BMO Put Write in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BMO Put Write 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 Put. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BMO Put Write has no effect on the direction of Citigroup i.e., Citigroup and BMO Put go up and down completely randomly.
Pair Corralation between Citigroup and BMO Put
Taking into account the 90-day investment horizon Citigroup is expected to generate 3.35 times more return on investment than BMO Put. However, Citigroup is 3.35 times more volatile than BMO Put Write. It trades about -0.04 of its potential returns per unit of risk. BMO Put Write is currently generating about -0.22 per unit of risk. If you would invest 6,750 in Citigroup on January 10, 2025 and sell it today you would lose (335.00) from holding Citigroup or give up 4.96% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.65% |
| Values | Daily Returns |
Citigroup vs. BMO Put Write
Performance |
| Timeline |
| Citigroup |
| BMO Put Write |
Citigroup and BMO Put Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and BMO Put
The main advantage of trading using opposite Citigroup and BMO Put positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, BMO Put 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 Put will offset losses from the drop in BMO Put's long position.| Citigroup vs. Barclays PLC ADR | Citigroup vs. ING Group NV | Citigroup vs. Banco Santander SA | Citigroup vs. HSBC Holdings PLC |
| BMO Put vs. BMO Put Write | BMO Put vs. BMO Global High | BMO Put vs. Harvest Equal Weight | BMO Put vs. CI Gold Giants |
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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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