RBC Quant Correlations

Etfs . Canada . 
Etf . RBC Quant EAFE
RID Etf  CAD 38.05  0.16  0.42%   
The current 90-days correlation between RBC Quant EAFE and iShares India Index is 0.26 (i.e., Modest 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 EAFE moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

RBC Quant Correlation With Market

Very poor diversification

The correlation between RBC Quant EAFE and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding RBC Quant EAFE 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 EAFE to buy it.

Moving together with RBC Etf

  0.96XEF iShares Core MSCIPairCorr
  0.96ZEA BMO MSCI EAFEPairCorr
  0.96VIU Vanguard FTSE DevelopedPairCorr
  0.96XIN iShares MSCI EAFEPairCorr
  0.96XFH iShares Core MSCIPairCorr
  0.96ZDM BMO MSCI EAFEPairCorr
  0.85WSRD Wealthsimple DevelopedPairCorr
  0.73ZLI BMO Low VolatilityPairCorr
  0.96VDU Vanguard FTSE DevelopedPairCorr
  0.97VEF Vanguard FTSE DevelopedPairCorr
  0.78FTN Financial 15 Split SplitPairCorr
  0.79DRFG Desjardins RI GlobalPairCorr
  0.91HAC Global X SeasonalPairCorr
  0.96QDX Mackenzie InternationalPairCorr
  0.82QCE Mackenzie Canadian LargePairCorr
  0.86QCN Mackenzie Canadian EquityPairCorr
  0.83ATSX Accelerate Canadian LongPairCorr
  0.75DXN Dynamic Active GlobalPairCorr
  0.71BANK Evolve Canadian BanksPairCorr
  0.73XCNS iShares Core ConservativePairCorr
  0.93DXBG Dynamic Global FixedPairCorr
  0.94XEU iShares MSCI EuropePairCorr
  0.94BMAX Brompton Enhanced MultiPairCorr
  0.8PFAE Picton Mahoney FortifiedPairCorr
  0.81NHYB NBI High YieldPairCorr
  0.78XSB iShares Canadian ShortPairCorr
  0.83ZMID BMO SP MidPairCorr
  0.95EIT-UN Canoe EIT IncomePairCorr
  0.68TCLV TD Q CanadianPairCorr
  0.92GCTB Guardian Ultra ShortPairCorr
  0.88DGRC CI Canada QualityPairCorr
  0.79CTMB CI Target 2029PairCorr
  0.77HXU BetaPro SP TSXPairCorr

Related Correlations Analysis


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

HAL
+ 0.96
RIDH
HAL
+ 0.94
PDIV
PDIV
+ 0.93
RIDH
BKCL
+ 0.91
HAL
BKCL
+ 0.9
RIDH
BKCL
+ 0.9
CNCC
  

High negative correlations

XID
- 0.84
HAL
XID
- 0.75
RIDH
XID
- 0.74
BKCL
XID
- 0.73
PDIV
XID
- 0.69
CNCC
XID
- 0.58
HXE

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
RIDH  0.51  0.13  0.16  0.30  0.36 
(0.66)
 1.14 
(0.82)
 3.26 
PDIV  0.32  0.03 (0.02) 0.17  0.43 
(0.34)
 0.65 
(0.83)
 3.21 
HXE  1.03  0.27  0.20  1.57  0.76 
(1.16)
 2.73 
(1.67)
 5.30 
RUDH  0.58 (0.05) 0.00 (0.02) 0.00 
 0.00 
 1.30 
(1.26)
 6.19 
CNCC  0.46  0.05  0.01  0.19  0.72 
(0.47)
 1.15 
(1.13)
 3.96 
LMAX  0.72 (0.01)(0.04) 0.04  0.91 
(0.71)
 1.56 
(1.49)
 4.42 
GDPY  0.60 (0.06) 0.00 (0.58) 0.00 
 0.00 
 1.19 
(1.32)
 4.14 
HAL  0.48  0.17  0.14  0.58  0.51 
(0.54)
 1.35 
(0.82)
 4.42 
BKCL  0.54  0.12  0.12  0.39  0.45 
(0.62)
 1.17 
(1.01)
 3.50 
XID  0.58 (0.11) 0.00 (0.36) 0.00 
 0.00 
 0.90 
(1.43)
 4.07 

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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