Correlation Between Citigroup and BMO Canadian
Can any of the company-specific risk be diversified away by investing in both Citigroup and BMO Canadian 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 Canadian into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and BMO Canadian High, you can compare the effects of market volatilities on Citigroup and BMO Canadian 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 Canadian. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and BMO Canadian.
Diversification Opportunities for Citigroup and BMO Canadian
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Citigroup and BMO is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and BMO Canadian High in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BMO Canadian High 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 Canadian. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BMO Canadian High has no effect on the direction of Citigroup i.e., Citigroup and BMO Canadian go up and down completely randomly.
Pair Corralation between Citigroup and BMO Canadian
Taking into account the 90-day investment horizon Citigroup is expected to generate 4.05 times more return on investment than BMO Canadian. However, Citigroup is 4.05 times more volatile than BMO Canadian High. It trades about 0.07 of its potential returns per unit of risk. BMO Canadian High is currently generating about 0.18 per unit of risk. If you would invest 6,080 in Citigroup on August 28, 2024 and sell it today you would earn a total of 995.00 from holding Citigroup or generate 16.37% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.21% |
| Values | Daily Returns |
Citigroup vs. BMO Canadian High
Performance |
| Timeline |
| Citigroup |
| BMO Canadian High |
Citigroup and BMO Canadian Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and BMO Canadian
The main advantage of trading using opposite Citigroup and BMO Canadian positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, BMO Canadian 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 Canadian will offset losses from the drop in BMO Canadian's long position.The idea behind Citigroup and BMO Canadian High pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| BMO Canadian vs. iShares Diversified Monthly | BMO Canadian vs. iShares SPTSX Capped | BMO Canadian vs. iShares SPTSX Capped |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
Other Complementary Tools
| Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets | |
| Money Managers Screen money managers from public funds and ETFs managed around the world | |
| Equity Search Search for actively traded equities including funds and ETFs from over 30 global markets | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| Top Crypto Exchanges Search and analyze digital assets across top global cryptocurrency exchanges |