Correlation Between Citigroup and BMO Europe
Can any of the company-specific risk be diversified away by investing in both Citigroup and BMO Europe 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 Europe into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and BMO Europe High, you can compare the effects of market volatilities on Citigroup and BMO Europe 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 Europe. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and BMO Europe.
Diversification Opportunities for Citigroup and BMO Europe
-0.67 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Citigroup and BMO is -0.67. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and BMO Europe High in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BMO Europe 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 Europe. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BMO Europe High has no effect on the direction of Citigroup i.e., Citigroup and BMO Europe go up and down completely randomly.
Pair Corralation between Citigroup and BMO Europe
Taking into account the 90-day investment horizon Citigroup is expected to generate 2.76 times more return on investment than BMO Europe. However, Citigroup is 2.76 times more volatile than BMO Europe High. It trades about 0.26 of its potential returns per unit of risk. BMO Europe High is currently generating about -0.17 per unit of risk. If you would invest 6,361 in Citigroup on September 1, 2024 and sell it today you would earn a total of 726.00 from holding Citigroup or generate 11.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 91.3% |
| Values | Daily Returns |
Citigroup vs. BMO Europe High
Performance |
| Timeline |
| Citigroup |
| BMO Europe High |
Citigroup and BMO Europe Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and BMO Europe
The main advantage of trading using opposite Citigroup and BMO Europe positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, BMO Europe 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 Europe will offset losses from the drop in BMO Europe's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| BMO Europe vs. BMO Europe High | BMO Europe vs. BMO High Dividend | BMO Europe vs. BMO Covered Call | BMO Europe vs. BMO Global High |
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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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