Correlation Between IShares Canadian and BMO MSCI
Can any of the company-specific risk be diversified away by investing in both IShares Canadian 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 IShares Canadian and BMO MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Canadian Universe and BMO MSCI Global, you can compare the effects of market volatilities on IShares Canadian 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 IShares Canadian with a short position of BMO MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Canadian and BMO MSCI.
Diversification Opportunities for IShares Canadian and BMO MSCI
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and BMO is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding iShares Canadian Universe and BMO MSCI Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BMO MSCI Global and IShares Canadian 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 iShares Canadian Universe 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 Global has no effect on the direction of IShares Canadian i.e., IShares Canadian and BMO MSCI go up and down completely randomly.
Pair Corralation between IShares Canadian and BMO MSCI
Assuming the 90 days trading horizon iShares Canadian Universe is expected to under-perform the BMO MSCI. But the etf apears to be less risky and, when comparing its historical volatility, iShares Canadian Universe is 2.37 times less risky than BMO MSCI. The etf trades about -0.18 of its potential returns per unit of risk. The BMO MSCI Global is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest 5,139 in BMO MSCI Global on October 9, 2024 and sell it today you would lose (44.00) from holding BMO MSCI Global or give up 0.86% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Canadian Universe vs. BMO MSCI Global
Performance |
| Timeline |
| iShares Canadian Universe |
| BMO MSCI Global |
IShares Canadian and BMO MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Canadian and BMO MSCI
The main advantage of trading using opposite IShares Canadian and BMO MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Canadian 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.| IShares Canadian vs. iShares Canadian Short | IShares Canadian vs. iShares MSCI EAFE | IShares Canadian vs. iShares Core Canadian | IShares Canadian vs. iShares Canadian Real |
| BMO MSCI vs. BMO MSCI USA | BMO MSCI vs. BMO MSCI Canada | BMO MSCI vs. BMO MSCI EAFE | BMO MSCI vs. BMO Balanced ESG |
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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
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