Correlation Between BMO High and BMO MSCI
Can any of the company-specific risk be diversified away by investing in both BMO High and BMO MSCI 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 High and BMO MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BMO High Yield and BMO MSCI EAFE, you can compare the effects of market volatilities on BMO High and BMO MSCI 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 High with a short position of BMO MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO High and BMO MSCI.
Diversification Opportunities for BMO High and BMO MSCI
Significant diversification
The 3 months correlation between BMO and BMO is 0.07. Overlapping area represents the amount of risk that can be diversified away by holding BMO High Yield and BMO MSCI EAFE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BMO MSCI EAFE and BMO High 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 High Yield are associated (or correlated) with BMO MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BMO MSCI EAFE has no effect on the direction of BMO High i.e., BMO High and BMO MSCI go up and down completely randomly.
Pair Corralation between BMO High and BMO MSCI
Assuming the 90 days trading horizon BMO High Yield is expected to generate 0.49 times more return on investment than BMO MSCI. However, BMO High Yield is 2.06 times less risky than BMO MSCI. It trades about 0.07 of its potential returns per unit of risk. BMO MSCI EAFE is currently generating about -0.06 per unit of risk. If you would invest 1,118 in BMO High Yield on August 25, 2024 and sell it today you would earn a total of 16.00 from holding BMO High Yield or generate 1.43% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
BMO High Yield vs. BMO MSCI EAFE
Performance |
| Timeline |
| BMO High Yield |
| BMO MSCI EAFE |
BMO High and BMO MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO High and BMO MSCI
The main advantage of trading using opposite BMO High and BMO MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO High position performs unexpectedly, BMO MSCI 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 BMO MSCI will offset losses from the drop in BMO MSCI's long position.| BMO High vs. BMO Mid Federal | BMO High vs. BMO Short Corporate | BMO High vs. BMO Emerging Markets | BMO High vs. BMO Long Corporate |
| BMO MSCI vs. Mackenzie Canadian Equity | BMO MSCI vs. BMO MSCI Emerging | BMO MSCI vs. Mackenzie Large Cap | BMO MSCI vs. BMO Long Federal |
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.
Other Complementary Tools
| Stock Tickers Use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites | |
| Commodity Channel Use Commodity Channel Index to analyze current equity momentum | |
| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes | |
| Idea Optimizer Use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio | |
| Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals |