Correlation Between BMO SPTSX and Invesco FTSE
Can any of the company-specific risk be diversified away by investing in both BMO SPTSX and Invesco FTSE 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 SPTSX and Invesco FTSE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BMO SPTSX Equal and Invesco FTSE RAFI, you can compare the effects of market volatilities on BMO SPTSX and Invesco FTSE 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 SPTSX with a short position of Invesco FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO SPTSX and Invesco FTSE.
Diversification Opportunities for BMO SPTSX and Invesco FTSE
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between BMO and Invesco is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding BMO SPTSX Equal and Invesco FTSE RAFI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco FTSE RAFI and BMO SPTSX 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 SPTSX Equal are associated (or correlated) with Invesco FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco FTSE RAFI has no effect on the direction of BMO SPTSX i.e., BMO SPTSX and Invesco FTSE go up and down completely randomly.
Pair Corralation between BMO SPTSX and Invesco FTSE
Assuming the 90 days trading horizon BMO SPTSX Equal is expected to generate 0.62 times more return on investment than Invesco FTSE. However, BMO SPTSX Equal is 1.6 times less risky than Invesco FTSE. It trades about 0.44 of its potential returns per unit of risk. Invesco FTSE RAFI is currently generating about 0.24 per unit of risk. If you would invest 4,102 in BMO SPTSX Equal on August 31, 2024 and sell it today you would earn a total of 167.00 from holding BMO SPTSX Equal or generate 4.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.65% |
| Values | Daily Returns |
BMO SPTSX Equal vs. Invesco FTSE RAFI
Performance |
| Timeline |
| BMO SPTSX Equal |
| Invesco FTSE RAFI |
BMO SPTSX and Invesco FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO SPTSX and Invesco FTSE
The main advantage of trading using opposite BMO SPTSX and Invesco FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO SPTSX position performs unexpectedly, Invesco FTSE 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 Invesco FTSE will offset losses from the drop in Invesco FTSE's long position.| BMO SPTSX vs. BMO Covered Call | BMO SPTSX vs. BMO Canadian Dividend | BMO SPTSX vs. BMO Covered Call | BMO SPTSX vs. BMO Canadian High |
| Invesco FTSE vs. Brompton Global Dividend | Invesco FTSE vs. Global Healthcare Income | Invesco FTSE vs. Tech Leaders Income | Invesco FTSE vs. Brompton North American |
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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
Other Complementary Tools
| Economic Indicators Top statistical indicators that provide insights into how an economy is performing | |
| Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine | |
| Portfolio Diagnostics Use generated alerts and portfolio events aggregator to diagnose current holdings | |
| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk | |
| Insider Screener Find insiders across different sectors to evaluate their impact on performance |