RBC Canadian Correlations

0P00007061

CAD 30.72 0.00 0.00%

The current 90-days correlation between RBC Canadian Equity and RBC mondial dnergie is 0.57 (i.e., Very weak diversification). The correlation of RBC Canadian is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

RBC Canadian Correlation With Market

Weak diversification

The correlation between RBC Canadian Equity and DJI is 0.38 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding RBC Canadian Equity and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to RBC Canadian could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace RBC Canadian when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back RBC Canadian - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling RBC Canadian Equity to buy it.

Moving together with RBC Fund

0.91	0P00007173	Mawer Canadien actions	Pair Corr
0.95	0P0000N468	PHN Canadian Equity	Pair Corr

Related Correlations Analysis

	0P00007065	0P00012DD2	0P00018PVY	0P000075UM	RBF653	0P00007138	0P00012UCU	0P000077P2	0P00007061
0P00007065		0.27	0.15	-0.35	0.32	-0.32	0.02	0.28	0.46	0P00007065
0P00012DD2	0.27		0.25	-0.47	0.95	-0.46	0.87	1.0	0.9	0P00012DD2
0P00018PVY	0.15	0.25		0.29	0.28	0.37	0.14	0.22	0.34	0P00018PVY
0P000075UM	-0.35	-0.47	0.29		-0.45	0.99	-0.38	-0.49	-0.34	0P000075UM
RBF653	0.32	0.95	0.28	-0.45		-0.43	0.83	0.95	0.91	RBF653
0P00007138	-0.32	-0.46	0.37	0.99	-0.43		-0.37	-0.48	-0.32	0P00007138
0P00012UCU	0.02	0.87	0.14	-0.38	0.83	-0.37		0.86	0.75	0P00012UCU
0P000077P2	0.28	1.0	0.22	-0.49	0.95	-0.48	0.86		0.9	0P000077P2
0P00007061	0.46	0.9	0.34	-0.34	0.91	-0.32	0.75	0.9		0P00007061
	0P00007065	0P00012DD2	0P00018PVY	0P000075UM	RBF653	0P00007138	0P00012UCU	0P000077P2	0P00007061

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

0P000077P2	+ 1.0	0P00012DD2
0P00007138	+ 0.99	0P000075UM
RBF653	+ 0.95	0P00012DD2
0P000077P2	+ 0.95	RBF653
0P00007061	+ 0.91	RBF653
0P00007061	+ 0.9	0P00012DD2

High negative correlations

0P000077P2	- 0.49	0P000075UM
0P000077P2	- 0.48	0P00007138
0P000075UM	- 0.47	0P00012DD2
0P00007138	- 0.46	0P00012DD2
RBF653	- 0.45	0P000075UM
0P00007138	- 0.43	RBF653

Risk-Adjusted Indicators

There is a big difference between RBC Fund performing well and RBC Canadian Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze RBC Canadian's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
0P00007065	0.73	0.05	(0.02)	0.89	0.98	(0.70)	1.39	(1.77)	5.10
0P00012DD2	0.83	(0.12)	0.00	(0.30)	0.00	0.00	1.15	(1.40)	15.71
0P00018PVY	0.57	0.00	(0.06)	0.08	0.72	(0.56)	1.10	(1.19)	2.57
0P000075UM	0.92	0.14	0.08	0.43	1.04	(1.18)	2.01	(1.68)	7.42
RBF653	0.79	(0.12)	0.00	(0.07)	0.00	0.00	1.24	(1.46)	13.30
0P00007138	0.83	0.11	0.06	0.39	0.93	(0.88)	1.68	(1.53)	5.99
0P00012UCU	0.78	(0.06)	0.00	(0.71)	0.00	0.00	1.25	(1.44)	11.95
0P000077P2	0.78	(0.13)	0.00	(0.36)	0.00	0.00	1.23	(1.16)	16.89
0P00007061	0.52	(0.02)	(0.06)	0.00	1.03	(0.45)	0.93	(1.15)	5.12

Be your own money manager

Our tools can tell you how much better you can do entering a position in RBC Canadian without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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