Correlation Between BMO Short and CI Investment
Can any of the company-specific risk be diversified away by investing in both BMO Short and CI Investment 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 Short and CI Investment into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BMO Short Term IG and CI Investment Grade, you can compare the effects of market volatilities on BMO Short and CI Investment 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 Short with a short position of CI Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO Short and CI Investment.
Diversification Opportunities for BMO Short and CI Investment
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between BMO and FIG is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding BMO Short Term IG and CI Investment Grade in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CI Investment Grade and BMO Short 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 Short Term IG are associated (or correlated) with CI Investment. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CI Investment Grade has no effect on the direction of BMO Short i.e., BMO Short and CI Investment go up and down completely randomly.
Pair Corralation between BMO Short and CI Investment
Assuming the 90 days trading horizon BMO Short Term IG is expected to generate 0.6 times more return on investment than CI Investment. However, BMO Short Term IG is 1.66 times less risky than CI Investment. It trades about -0.03 of its potential returns per unit of risk. CI Investment Grade is currently generating about -0.02 per unit of risk. If you would invest 1,338 in BMO Short Term IG on August 25, 2024 and sell it today you would lose (4.00) from holding BMO Short Term IG or give up 0.3% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 98.44% |
| Values | Daily Returns |
BMO Short Term IG vs. CI Investment Grade
Performance |
| Timeline |
| BMO Short Term |
| CI Investment Grade |
BMO Short and CI Investment Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO Short and CI Investment
The main advantage of trading using opposite BMO Short and CI Investment positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO Short position performs unexpectedly, CI Investment 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 CI Investment will offset losses from the drop in CI Investment's long position.| BMO Short vs. Mackenzie High Yield | BMO Short vs. Mackenzie Core Plus | BMO Short vs. Mackenzie Canadian Aggregate | BMO Short vs. Mackenzie Core Plus |
| CI Investment vs. CI Enhanced Short | CI Investment vs. Global X Active | CI Investment vs. Mackenzie Unconstrained Bond | CI Investment vs. CI Enhanced Government |
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 Bonds Directory module to find actively traded corporate debentures issued by US companies.
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