Correlation Between BMO SIA and Vanguard FTSE
Can any of the company-specific risk be diversified away by investing in both BMO SIA and Vanguard 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 SIA and Vanguard FTSE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BMO SIA Focused and Vanguard FTSE Developed, you can compare the effects of market volatilities on BMO SIA and Vanguard 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 SIA with a short position of Vanguard FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO SIA and Vanguard FTSE.
Diversification Opportunities for BMO SIA and Vanguard FTSE
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between BMO and Vanguard is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding BMO SIA Focused and Vanguard FTSE Developed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard FTSE Developed and BMO SIA 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 SIA Focused are associated (or correlated) with Vanguard FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard FTSE Developed has no effect on the direction of BMO SIA i.e., BMO SIA and Vanguard FTSE go up and down completely randomly.
Pair Corralation between BMO SIA and Vanguard FTSE
If you would invest 5,650 in Vanguard FTSE Developed on November 5, 2024 and sell it today you would earn a total of 181.00 from holding Vanguard FTSE Developed or generate 3.2% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 4.76% |
| Values | Daily Returns |
BMO SIA Focused vs. Vanguard FTSE Developed
Performance |
| Timeline |
| BMO SIA Focused |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Modest
| Vanguard FTSE Developed |
BMO SIA and Vanguard FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO SIA and Vanguard FTSE
The main advantage of trading using opposite BMO SIA and Vanguard FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO SIA position performs unexpectedly, Vanguard 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 Vanguard FTSE will offset losses from the drop in Vanguard FTSE's long position.| BMO SIA vs. BMO MSCI USA | BMO SIA vs. BMO MSCI Canada | BMO SIA vs. BMO Low Volatility | BMO SIA vs. BMO SPTSX Equal |
| Vanguard FTSE vs. Vanguard Total Market | Vanguard FTSE vs. Vanguard Canadian Short Term | Vanguard FTSE vs. iShares Dividend Growers | Vanguard FTSE vs. iShares High Quality |
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..
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