Correlation Between CI Europe and BMO MSCI
Can any of the company-specific risk be diversified away by investing in both CI Europe 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 CI Europe and BMO MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CI Europe Hedged and BMO MSCI All, you can compare the effects of market volatilities on CI Europe 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 CI Europe with a short position of BMO MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of CI Europe and BMO MSCI.
Diversification Opportunities for CI Europe and BMO MSCI
Very weak diversification
The 3 months correlation between EHE and BMO is 0.43. Overlapping area represents the amount of risk that can be diversified away by holding CI Europe Hedged and BMO MSCI All in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BMO MSCI All and CI Europe 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 CI Europe Hedged 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 All has no effect on the direction of CI Europe i.e., CI Europe and BMO MSCI go up and down completely randomly.
Pair Corralation between CI Europe and BMO MSCI
Assuming the 90 days trading horizon CI Europe Hedged is expected to generate 0.79 times more return on investment than BMO MSCI. However, CI Europe Hedged is 1.26 times less risky than BMO MSCI. It trades about 0.35 of its potential returns per unit of risk. BMO MSCI All is currently generating about 0.14 per unit of risk. If you would invest 3,127 in CI Europe Hedged on October 20, 2024 and sell it today you would earn a total of 127.00 from holding CI Europe Hedged or generate 4.06% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
CI Europe Hedged vs. BMO MSCI All
Performance |
| Timeline |
| CI Europe Hedged |
| BMO MSCI All |
CI Europe and BMO MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CI Europe and BMO MSCI
The main advantage of trading using opposite CI Europe and BMO MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CI Europe 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.| CI Europe vs. iShares MSCI Europe | CI Europe vs. BMO MSCI Europe | CI Europe vs. iShares Core MSCI | CI Europe vs. iShares MSCI Emerging |
| BMO MSCI vs. iShares Core Equity | BMO MSCI vs. iShares Core MSCI | BMO MSCI vs. Dynamic Active Global | BMO MSCI vs. Vanguard FTSE Global |
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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
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