Correlation Between BMO Aggregate and Desjardins Alt
Can any of the company-specific risk be diversified away by investing in both BMO Aggregate and Desjardins Alt 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 BMO Aggregate and Desjardins Alt into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BMO Aggregate Bond and Desjardins Alt LongShort, you can compare the effects of market volatilities on BMO Aggregate and Desjardins Alt 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 BMO Aggregate with a short position of Desjardins Alt. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO Aggregate and Desjardins Alt.
Diversification Opportunities for BMO Aggregate and Desjardins Alt
0.06 | Correlation Coefficient |
Significant diversification
The 3 months correlation between BMO and Desjardins is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding BMO Aggregate Bond and Desjardins Alt LongShort in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Desjardins Alt LongShort and BMO Aggregate 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 BMO Aggregate Bond are associated (or correlated) with Desjardins Alt. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Desjardins Alt LongShort has no effect on the direction of BMO Aggregate i.e., BMO Aggregate and Desjardins Alt go up and down completely randomly.
Pair Corralation between BMO Aggregate and Desjardins Alt
Assuming the 90 days trading horizon BMO Aggregate is expected to generate 1.44 times less return on investment than Desjardins Alt. In addition to that, BMO Aggregate is 3.19 times more volatile than Desjardins Alt LongShort. It trades about 0.05 of its total potential returns per unit of risk. Desjardins Alt LongShort is currently generating about 0.22 per unit of volatility. If you would invest 2,237 in Desjardins Alt LongShort on September 12, 2024 and sell it today you would earn a total of 36.00 from holding Desjardins Alt LongShort or generate 1.61% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
BMO Aggregate Bond vs. Desjardins Alt LongShort
Performance |
| Timeline |
| BMO Aggregate Bond |
| Desjardins Alt LongShort |
BMO Aggregate and Desjardins Alt Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO Aggregate and Desjardins Alt
The main advantage of trading using opposite BMO Aggregate and Desjardins Alt positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO Aggregate position performs unexpectedly, Desjardins Alt 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 Desjardins Alt will offset losses from the drop in Desjardins Alt's long position.| BMO Aggregate vs. iShares Core MSCI | BMO Aggregate vs. Vanguard FTSE Canada | BMO Aggregate vs. Vanguard Canadian Aggregate | BMO Aggregate vs. iShares Core MSCI |
| Desjardins Alt vs. AGFiQ Market Neutral | Desjardins Alt vs. Desjardins RI Canada | Desjardins Alt vs. NBI Liquid Alternatives | Desjardins Alt vs. Desjardins RI USA |
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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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