Correlation Between BMO Aggregate and IShares Floating

Specify exactly 2 symbols:
Can any of the company-specific risk be diversified away by investing in both BMO Aggregate and IShares Floating 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 Aggregate and IShares Floating into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BMO Aggregate Bond and iShares Floating Rate, you can compare the effects of market volatilities on BMO Aggregate and IShares Floating 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 Aggregate with a short position of IShares Floating. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO Aggregate and IShares Floating.

Diversification Opportunities for BMO Aggregate and IShares Floating

-0.58
  Correlation Coefficient

Excellent diversification

The 3 months correlation between BMO and IShares is -0.58. Overlapping area represents the amount of risk that can be diversified away by holding BMO Aggregate Bond and iShares Floating Rate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares Floating Rate and BMO Aggregate 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 Aggregate Bond are associated (or correlated) with IShares Floating. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares Floating Rate has no effect on the direction of BMO Aggregate i.e., BMO Aggregate and IShares Floating go up and down completely randomly.

Pair Corralation between BMO Aggregate and IShares Floating

Assuming the 90 days trading horizon BMO Aggregate Bond is expected to under-perform the IShares Floating. In addition to that, BMO Aggregate is 4.42 times more volatile than iShares Floating Rate. It trades about -0.21 of its total potential returns per unit of risk. iShares Floating Rate is currently generating about 0.28 per unit of volatility. If you would invest  1,996  in iShares Floating Rate on August 24, 2024 and sell it today you would earn a total of  5.00  from holding iShares Floating Rate or generate 0.25% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

BMO Aggregate Bond  vs.  iShares Floating Rate

 Performance 
       Timeline  
BMO Aggregate Bond 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days BMO Aggregate Bond has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, BMO Aggregate is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.
iShares Floating Rate 

Risk-Adjusted Performance

34 of 100

 
Weak
 
Strong
Very Strong
Compared to the overall equity markets, risk-adjusted returns on investments in iShares Floating Rate are ranked lower than 34 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy basic indicators, IShares Floating is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

BMO Aggregate and IShares Floating Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with BMO Aggregate and IShares Floating

The main advantage of trading using opposite BMO Aggregate and IShares Floating positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO Aggregate position performs unexpectedly, IShares Floating 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 Floating will offset losses from the drop in IShares Floating's long position.
The idea behind BMO Aggregate Bond and iShares Floating Rate pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.

Other Complementary Tools

Portfolio Suggestion
Get suggestions outside of your existing asset allocation including your own model portfolios
Portfolio Optimization
Compute new portfolio that will generate highest expected return given your specified tolerance for risk
Top Crypto Exchanges
Search and analyze digital assets across top global cryptocurrency exchanges
Watchlist Optimization
Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm
Technical Analysis
Check basic technical indicators and analysis based on most latest market data