Correlation Between BMO MSCI and CI International
Can any of the company-specific risk be diversified away by investing in both BMO MSCI and CI International 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 MSCI and CI International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BMO MSCI EAFE and CI International Quality, you can compare the effects of market volatilities on BMO MSCI and CI International 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 MSCI with a short position of CI International. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO MSCI and CI International.
Diversification Opportunities for BMO MSCI and CI International
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between BMO and IQD is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding BMO MSCI EAFE and CI International Quality in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CI International Quality and BMO MSCI 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 MSCI EAFE are associated (or correlated) with CI International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CI International Quality has no effect on the direction of BMO MSCI i.e., BMO MSCI and CI International go up and down completely randomly.
Pair Corralation between BMO MSCI and CI International
Assuming the 90 days trading horizon BMO MSCI is expected to generate 1.33 times less return on investment than CI International. But when comparing it to its historical volatility, BMO MSCI EAFE is 1.17 times less risky than CI International. It trades about 0.1 of its potential returns per unit of risk. CI International Quality is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 3,388 in CI International Quality on September 4, 2024 and sell it today you would earn a total of 52.00 from holding CI International Quality or generate 1.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
BMO MSCI EAFE vs. CI International Quality
Performance |
| Timeline |
| BMO MSCI EAFE |
| CI International Quality |
BMO MSCI and CI International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO MSCI and CI International
The main advantage of trading using opposite BMO MSCI and CI International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO MSCI position performs unexpectedly, CI International 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 CI International will offset losses from the drop in CI International's long position.| BMO MSCI vs. BMO SP 500 | BMO MSCI vs. BMO MSCI Emerging | BMO MSCI vs. BMO Global Infrastructure | BMO MSCI 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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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