Correlation Between BMO MSCI and IShares High
Can any of the company-specific risk be diversified away by investing in both BMO MSCI and IShares High 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 High into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BMO MSCI All and iShares High Dividend, you can compare the effects of market volatilities on BMO MSCI and IShares High 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 High. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO MSCI and IShares High.
Diversification Opportunities for BMO MSCI and IShares High
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between BMO and IShares is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding BMO MSCI All and iShares High Dividend in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares High Dividend 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 All are associated (or correlated) with IShares High. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares High Dividend has no effect on the direction of BMO MSCI i.e., BMO MSCI and IShares High go up and down completely randomly.
Pair Corralation between BMO MSCI and IShares High
Assuming the 90 days trading horizon BMO MSCI is expected to generate 4.21 times less return on investment than IShares High. In addition to that, BMO MSCI is 1.21 times more volatile than iShares High Dividend. It trades about 0.04 of its total potential returns per unit of risk. iShares High Dividend is currently generating about 0.18 per unit of volatility. If you would invest 3,460 in iShares High Dividend on August 29, 2024 and sell it today you would earn a total of 90.00 from holding iShares High Dividend or generate 2.6% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
BMO MSCI All vs. iShares High Dividend
Performance |
| Timeline |
| BMO MSCI All |
| iShares High Dividend |
BMO MSCI and IShares High Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO MSCI and IShares High
The main advantage of trading using opposite BMO MSCI and IShares High positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO MSCI position performs unexpectedly, IShares High 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 High will offset losses from the drop in IShares High's long position.| BMO MSCI vs. BMO MSCI USA | BMO MSCI vs. BMO MSCI Europe | BMO MSCI vs. BMO Low Volatility | BMO MSCI vs. BMO Global Infrastructure |
| IShares High vs. BMO Europe High | IShares High vs. BMO Covered Call | IShares High vs. BMO Europe High | IShares High vs. Forstrong Global Income |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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