Correlation Between BMO MSCI and IShares SPTSX
Can any of the company-specific risk be diversified away by investing in both BMO MSCI and IShares SPTSX 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 IShares SPTSX 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 iShares SPTSX Small, you can compare the effects of market volatilities on BMO MSCI and IShares SPTSX 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 IShares SPTSX. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO MSCI and IShares SPTSX.
Diversification Opportunities for BMO MSCI and IShares SPTSX
0.27 | Correlation Coefficient |
Modest diversification
The 3 months correlation between BMO and IShares is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding BMO MSCI Emerging and iShares SPTSX Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SPTSX Small 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 IShares SPTSX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SPTSX Small has no effect on the direction of BMO MSCI i.e., BMO MSCI and IShares SPTSX go up and down completely randomly.
Pair Corralation between BMO MSCI and IShares SPTSX
Assuming the 90 days trading horizon BMO MSCI Emerging is expected to under-perform the IShares SPTSX. But the etf apears to be less risky and, when comparing its historical volatility, BMO MSCI Emerging is 1.15 times less risky than IShares SPTSX. The etf trades about -0.03 of its potential returns per unit of risk. The iShares SPTSX Small is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 2,032 in iShares SPTSX Small on October 20, 2024 and sell it today you would earn a total of 74.00 from holding iShares SPTSX Small or generate 3.64% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
BMO MSCI Emerging vs. iShares SPTSX Small
Performance |
| Timeline |
| BMO MSCI Emerging |
| iShares SPTSX Small |
BMO MSCI and IShares SPTSX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO MSCI and IShares SPTSX
The main advantage of trading using opposite BMO MSCI and IShares SPTSX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO MSCI position performs unexpectedly, IShares SPTSX 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 IShares SPTSX will offset losses from the drop in IShares SPTSX's long position.| BMO MSCI vs. Vanguard FTSE Developed | BMO MSCI vs. Vanguard Total Market | BMO MSCI vs. Vanguard FTSE Canada | BMO MSCI vs. Vanguard Canadian Aggregate |
| IShares SPTSX vs. iShares SPTSX Completion | IShares SPTSX vs. Manulife Multifactor Canadian | IShares SPTSX vs. BMO Premium Yield | IShares SPTSX vs. Evolve Future Leadership |
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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
Other Complementary Tools
| Stocks Directory Find actively traded stocks across global markets | |
| Equity Valuation Check real value of public entities based on technical and fundamental data | |
| Commodity Directory Find actively traded commodities issued by global exchanges | |
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Investing Opportunities Build portfolios using our predefined set of ideas and optimize them against your investing preferences |