Correlation Between BMO SP and BMO Mid
Can any of the company-specific risk be diversified away by investing in both BMO SP and BMO Mid 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 SP and BMO Mid into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BMO SP 500 and BMO Mid Federal, you can compare the effects of market volatilities on BMO SP and BMO Mid 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 SP with a short position of BMO Mid. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO SP and BMO Mid.
Diversification Opportunities for BMO SP and BMO Mid
Pay attention - limited upside
The 3 months correlation between BMO and BMO is -0.73. Overlapping area represents the amount of risk that can be diversified away by holding BMO SP 500 and BMO Mid Federal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BMO Mid Federal and BMO SP 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 SP 500 are associated (or correlated) with BMO Mid. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BMO Mid Federal has no effect on the direction of BMO SP i.e., BMO SP and BMO Mid go up and down completely randomly.
Pair Corralation between BMO SP and BMO Mid
Assuming the 90 days trading horizon BMO SP 500 is expected to generate 2.52 times more return on investment than BMO Mid. However, BMO SP is 2.52 times more volatile than BMO Mid Federal. It trades about 0.23 of its potential returns per unit of risk. BMO Mid Federal is currently generating about 0.0 per unit of risk. If you would invest 8,842 in BMO SP 500 on August 29, 2024 and sell it today you would earn a total of 422.00 from holding BMO SP 500 or generate 4.77% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
BMO SP 500 vs. BMO Mid Federal
Performance |
| Timeline |
| BMO SP 500 |
| BMO Mid Federal |
BMO SP and BMO Mid Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO SP and BMO Mid
The main advantage of trading using opposite BMO SP and BMO Mid positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO SP position performs unexpectedly, BMO Mid 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 Mid will offset losses from the drop in BMO Mid's long position.| BMO SP vs. BMO SPTSX Capped | BMO SP vs. BMO NASDAQ 100 | BMO SP vs. iShares Core SP | BMO SP vs. Vanguard SP 500 |
| BMO Mid vs. BMO Aggregate Bond | BMO Mid vs. iShares Canadian Universe | BMO Mid vs. BMO Core Plus | BMO Mid vs. BMO Discount Bond |
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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
Other Complementary Tools
| Portfolio Center All portfolio management and optimization tools to improve performance of your portfolios | |
| CEOs Directory Screen CEOs from public companies around the world | |
| Sign In To Macroaxis Sign in to explore Macroaxis' wealth optimization platform and fintech modules | |
| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk | |
| FinTech Suite Use AI to screen and filter profitable investment opportunities |