Correlation Between BMO MSCI and RBC Quant
Can any of the company-specific risk be diversified away by investing in both BMO MSCI and RBC Quant 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 RBC Quant 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 RBC Quant Emerging, you can compare the effects of market volatilities on BMO MSCI and RBC Quant 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 RBC Quant. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO MSCI and RBC Quant.
Diversification Opportunities for BMO MSCI and RBC Quant
Almost no diversification
The 3 months correlation between BMO and RBC is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding BMO MSCI Emerging and RBC Quant Emerging in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on RBC Quant 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 RBC Quant. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of RBC Quant Emerging has no effect on the direction of BMO MSCI i.e., BMO MSCI and RBC Quant go up and down completely randomly.
Pair Corralation between BMO MSCI and RBC Quant
Assuming the 90 days trading horizon BMO MSCI Emerging is expected to generate 1.08 times more return on investment than RBC Quant. However, BMO MSCI is 1.08 times more volatile than RBC Quant Emerging. It trades about 0.09 of its potential returns per unit of risk. RBC Quant Emerging is currently generating about 0.09 per unit of risk. If you would invest 1,864 in BMO MSCI Emerging on August 29, 2024 and sell it today you would earn a total of 336.00 from holding BMO MSCI Emerging or generate 18.03% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
BMO MSCI Emerging vs. RBC Quant Emerging
Performance |
| Timeline |
| BMO MSCI Emerging |
| RBC Quant Emerging |
BMO MSCI and RBC Quant Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO MSCI and RBC Quant
The main advantage of trading using opposite BMO MSCI and RBC Quant positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO MSCI position performs unexpectedly, RBC Quant 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 RBC Quant will offset losses from the drop in RBC Quant's 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 |
| RBC Quant vs. RBC Quant European | RBC Quant vs. RBC Quant Canadian | RBC Quant vs. RBC Quant EAFE | RBC Quant vs. RBC Quant Dividend |
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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