Correlation Between BMO MSCI and Desjardins
Can any of the company-specific risk be diversified away by investing in both BMO MSCI and Desjardins 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 Desjardins into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BMO MSCI Emerging and Desjardins RI Emerging, you can compare the effects of market volatilities on BMO MSCI and Desjardins 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 Desjardins. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO MSCI and Desjardins.
Diversification Opportunities for BMO MSCI and Desjardins
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between BMO and Desjardins is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding BMO MSCI Emerging and Desjardins RI Emerging in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Desjardins RI Emerging 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 Emerging are associated (or correlated) with Desjardins. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Desjardins RI Emerging has no effect on the direction of BMO MSCI i.e., BMO MSCI and Desjardins go up and down completely randomly.
Pair Corralation between BMO MSCI and Desjardins
Assuming the 90 days trading horizon BMO MSCI Emerging is expected to generate 1.32 times more return on investment than Desjardins. However, BMO MSCI is 1.32 times more volatile than Desjardins RI Emerging. It trades about -0.17 of its potential returns per unit of risk. Desjardins RI Emerging is currently generating about -0.26 per unit of risk. If you would invest 2,272 in BMO MSCI Emerging on August 30, 2024 and sell it today you would lose (77.00) from holding BMO MSCI Emerging or give up 3.39% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 95.65% |
| Values | Daily Returns |
BMO MSCI Emerging vs. Desjardins RI Emerging
Performance |
| Timeline |
| BMO MSCI Emerging |
| Desjardins RI Emerging |
BMO MSCI and Desjardins Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO MSCI and Desjardins
The main advantage of trading using opposite BMO MSCI and Desjardins positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO MSCI position performs unexpectedly, Desjardins 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 will offset losses from the drop in Desjardins' long position.| BMO MSCI vs. BMO MSCI EAFE | BMO MSCI vs. BMO MSCI China | BMO MSCI vs. BMO MSCI EAFE | BMO MSCI vs. BMO MSCI India |
| Desjardins vs. Desjardins American Equity | Desjardins vs. Desjardins RI Canada | Desjardins vs. Desjardins RI Canada | Desjardins vs. Desjardins Canadian Corporate |
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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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