RBC Quant Correlations

Etfs . Canada . 
Etf . RBC Quant European
RPD Etf  CAD 37.76  0.21  0.56%   
The current 90-days correlation between RBC Quant European and Desjardins RI Developed is 0.52 (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 European 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 European 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 European 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 European to buy it.

Moving together with RBC Etf

  0.97ZWP BMO Europe HighPairCorr
  0.96ZWE BMO Europe HighPairCorr
  0.97XEU iShares MSCI EuropePairCorr
  0.94ZEQ BMO MSCI EuropePairCorr
  0.97VE Vanguard FTSE DevelopedPairCorr
  0.97XEH iShares MSCI EuropePairCorr
  0.93HXX Global X EuropePairCorr
  0.9EHE CI Europe HedgedPairCorr
  0.99RPDH RBC Quant EuropeanPairCorr
  0.73HOU BetaPro Crude OilPairCorr
  0.93NMNG Ninepoint Mining EvoPairCorr
  0.79CPD iShares SPTSX CanadianPairCorr
  0.61FLUS Franklin Large CapPairCorr
  0.84AMAX Hamilton Gold ProducerPairCorr
  0.84ZBK BMO Equal WeightPairCorr
  0.64ZEO BMO Equal WeightPairCorr
  0.76XSTB iShares ESG AwarePairCorr
  0.88XDUH iShares Core MSCIPairCorr
  0.86XEN iShares Jantzi SocialPairCorr
  0.93HAC Global X SeasonalPairCorr
  0.86CALL Evolve Banks EnhancedPairCorr
  0.95MINT-B Manulife MultifactorPairCorr
  0.67HAZ Global X ActivePairCorr
  0.85NXF First Asset EnergyPairCorr
  0.8XEG iShares SPTSX CappedPairCorr
  0.8DXN Dynamic Active GlobalPairCorr
  0.96UDIV Manulife Smart DividendPairCorr
  0.87CGXF CI Gold GiantsPairCorr
  0.91PFCO PICTON Credit OpportPairCorr
  0.75TCLV TD Q CanadianPairCorr
  0.87WSHR Wealthsimple ShariahPairCorr

Moving against RBC Etf

  0.83HXD BetaPro SPTSX 60PairCorr
  0.8HED BetaPro SPTSX CappedPairCorr
  0.59HIU BetaPro SP 500PairCorr
  0.49HBLK Blockchain TechnologiesPairCorr

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

RPDH
+ 0.98
QDXH
DRMD
+ 0.98
QDXH
DRMD
+ 0.97
RPDH
QDXH
+ 0.96
EDGF
RPDH
+ 0.96
EDGF
DRMD
+ 0.95
EDGF
  

High negative correlations

FCRR
- 0.58
EDGF
HBGD
- 0.57
FCRR
FCRR
- 0.54
RPDH
FCRR
- 0.54
QDXH
DRMD
- 0.48
FCRR
INOC
- 0.45
FCRR

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
EDGF  0.51  0.09  0.09  0.26  0.44 
(0.64)
 1.23 
(1.07)
 3.90 
QDXH  0.36  0.11  0.17  0.39  0.00 
(0.59)
 1.40 
(0.80)
 2.69 
RPDH  0.46  0.18  0.31  0.91  0.00 
(0.63)
 1.42 
(0.58)
 2.79 
XML  0.37  0.09  0.12  0.94  0.23 
(0.45)
 0.85 
(0.64)
 2.39 
HCON  0.25  0.02 (0.03) 0.14  0.18 
(0.32)
 0.61 
(0.41)
 1.29 
FCRR  0.60 (0.04) 0.00 (0.04) 0.00 
 0.00 
 1.22 
(1.09)
 6.85 
HBGD  1.68  0.10  0.05  0.11  1.94 
(1.83)
 3.47 
(3.79)
 10.66 
NRGU  2.32  0.59  0.20  4.31  2.40 
(2.54)
 5.06 
(3.18)
 12.09 
INOC  0.67  0.17  0.14 (6.26) 0.64 
(0.78)
 1.89 
(0.91)
 5.74 
DRMD  0.53  0.09  0.09  0.21  0.61 
(0.58)
 1.16 
(1.21)
 3.29 

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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