Correlation Between IShares Floating and BMO Low
Can any of the company-specific risk be diversified away by investing in both IShares Floating and BMO Low 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 Floating and BMO Low into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Floating Rate and BMO Low Volatility, you can compare the effects of market volatilities on IShares Floating and BMO Low 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 Floating with a short position of BMO Low. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Floating and BMO Low.
Diversification Opportunities for IShares Floating and BMO Low
0.48 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between IShares and BMO is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding iShares Floating Rate and BMO Low Volatility in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BMO Low Volatility and IShares Floating 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 Floating Rate are associated (or correlated) with BMO Low. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BMO Low Volatility has no effect on the direction of IShares Floating i.e., IShares Floating and BMO Low go up and down completely randomly.
Pair Corralation between IShares Floating and BMO Low
Assuming the 90 days trading horizon iShares Floating Rate is expected to generate 0.08 times more return on investment than BMO Low. However, iShares Floating Rate is 12.32 times less risky than BMO Low. It trades about 0.27 of its potential returns per unit of risk. BMO Low Volatility is currently generating about -0.17 per unit of risk. If you would invest 1,998 in iShares Floating Rate on August 29, 2024 and sell it today you would earn a total of 5.00 from holding iShares Floating Rate or generate 0.25% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Floating Rate vs. BMO Low Volatility
Performance |
| Timeline |
| iShares Floating Rate |
| BMO Low Volatility |
IShares Floating and BMO Low Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Floating and BMO Low
The main advantage of trading using opposite IShares Floating and BMO Low positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Floating position performs unexpectedly, BMO Low 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 Low will offset losses from the drop in BMO Low's long position.| IShares Floating vs. iShares Canadian Short | IShares Floating vs. iShares Core Canadian | IShares Floating vs. BMO Short Corporate | IShares Floating vs. Vanguard Canadian Short |
| BMO Low vs. BMO Low Volatility | BMO Low vs. BMO International Dividend | BMO Low vs. BMO MSCI Canada | BMO Low vs. BMO MSCI EAFE |
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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
Other Complementary Tools
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| FinTech Suite Use AI to screen and filter profitable investment opportunities | |
| Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
| Headlines Timeline Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity | |
| Theme Ratings Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance |