RBC Quant Correlations

RCD Etf

CAD 39.45 0.79 2.04%

The current 90-days correlation between RBC Quant Canadian and RBC Quant EAFE is 0.49 (i.e., Very weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as RBC Quant moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if RBC Quant Canadian moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

RBC Quant Correlation With Market

Very good diversification

The correlation between RBC Quant Canadian and DJI is -0.23 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding RBC Quant Canadian and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to RBC Quant 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 Quant 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 Quant - 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 Quant Canadian to buy it.

Moving together with RBC Etf

0.75	ZDV	BMO Canadian Dividend	Pair Corr
0.63	CDIV	Manulife Smart Dividend	Pair Corr

Moving against RBC Etf

0.47	HBGD-U	Global X Big	Pair Corr
0.39	HBGD	Global X Big	Pair Corr
0.34	HXH	Global X Canadian	Pair Corr
0.32	ZWC	BMO Canadian High	Pair Corr
0.38	HXX	Global X Europe	Pair Corr
0.38	XSTB	iShares ESG Aware	Pair Corr
0.34	NXF	First Asset Energy	Pair Corr
0.32	DXBG	Dynamic Global Fixed	Pair Corr
0.31	WSHR	Wealthsimple Shariah	Pair Corr
0.44	RAAA	Corton Enhanced Income	Pair Corr
0.43	TERM	Manulife Smart Short	Pair Corr
0.41	XSH	iShares Core Canadian	Pair Corr
0.39	CTMB	CI Target 2029	Pair Corr
0.37	XSB	iShares Canadian Short	Pair Corr
0.34	HPF	Harvest Energy Leaders	Pair Corr

Related Correlations Analysis

	RUD	RUDH	FCCD	XEH	XBM	BKCC	XCNS	XUT	XDSR	RID
RUD		0.77	-0.08	0.08	-0.05	0.19	0.41	-0.03	0.11	0.11	RUD
RUDH	0.77		0.01	0.1	0.02	0.34	0.21	-0.01	0.06	0.19	RUDH
FCCD	-0.08	0.01		0.92	0.96	0.84	0.68	-0.35	0.91	0.94	FCCD
XEH	0.08	0.1	0.92		0.96	0.88	0.68	-0.49	0.95	0.93	XEH
XBM	-0.05	0.02	0.96	0.96		0.86	0.64	-0.52	0.9	0.91	XBM
BKCC	0.19	0.34	0.84	0.88	0.86		0.5	-0.6	0.76	0.85	BKCC
XCNS	0.41	0.21	0.68	0.68	0.64	0.5		-0.02	0.8	0.73	XCNS
XUT	-0.03	-0.01	-0.35	-0.49	-0.52	-0.6	-0.02		-0.25	-0.24	XUT
XDSR	0.11	0.06	0.91	0.95	0.9	0.76	0.8	-0.25		0.95	XDSR
RID	0.11	0.19	0.94	0.93	0.91	0.85	0.73	-0.24	0.95		RID
	RUD	RUDH	FCCD	XEH	XBM	BKCC	XCNS	XUT	XDSR	RID

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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

XBM	+ 0.96	FCCD
XBM	+ 0.96	XEH
XDSR	+ 0.95	XEH
RID	+ 0.95	XDSR
RID	+ 0.94	FCCD
RID	+ 0.93	XEH

High negative correlations

XUT	- 0.6	BKCC
XUT	- 0.52	XBM
XUT	- 0.49	XEH
XUT	- 0.35	FCCD
XDSR	- 0.25	XUT
RID	- 0.24	XUT

RBC Quant Constituents Risk-Adjusted Indicators

There is a big difference between RBC Etf performing well and RBC Quant ETF 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 Quant'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
RUD	0.62	(0.07)	0.00	(0.06)	0.00	0.00	1.19	(1.24)	4.13
RUDH	0.58	(0.05)	0.00	(0.02)	0.00	0.00	1.30	(1.26)	6.19
FCCD	0.42	0.14	0.13	0.79	0.42	(0.45)	0.92	(0.89)	3.01
XEH	0.49	0.05	0.03	0.17	0.57	(0.51)	1.31	(1.14)	2.76
XBM	1.79	0.42	0.17	0.54	2.06	(1.96)	3.60	(4.12)	12.02
BKCC	0.43	0.09	0.10	0.39	0.31	(0.50)	0.95	(0.85)	2.82
XCNS	0.29	(0.01)	(0.12)	0.02	0.43	(0.28)	0.55	(0.74)	1.68
XUT	0.43	0.01	(0.07)	(0.02)	0.79	(0.42)	0.71	(0.81)	4.17
XDSR	0.60	0.04	0.01	0.13	0.71	(0.59)	1.24	(1.18)	3.05
RID	0.63	0.10	0.08	0.27	0.71	(0.69)	1.35	(1.25)	4.38

Be your own money manager

Our tools can tell you how much better you can do entering a position in RBC Quant 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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