RBC Quant Correlations

RPDH Etf

CAD 36.35 0.33 0.92%

The current 90-days correlation between RBC Quant European and Global X Canadian is 0.03 (i.e., Significant 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 0.83 (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

0.96	ZWP	BMO Europe High	Pair Corr
0.97	ZWE	BMO Europe High	Pair Corr
0.96	XEU	iShares MSCI Europe	Pair Corr
0.94	ZEQ	BMO MSCI Europe	Pair Corr
0.96	VE	Vanguard FTSE Developed	Pair Corr
0.97	XEH	iShares MSCI Europe	Pair Corr
0.93	HXX	Global X Europe	Pair Corr
0.94	EHE	CI Europe Hedged	Pair Corr
0.83	HGU	BetaPro Canadian Gold	Pair Corr
0.85	HEU	BetaPro SP TSX	Pair Corr
0.9	ZGD	BMO Equal Weight	Pair Corr
0.9	ZJG	BMO Junior Gold	Pair Corr
0.85	HBU	BetaPro Gold Bullion	Pair Corr
0.87	HXE	Global X SPTSX	Pair Corr
0.9	HGGG	Harvest Global Gold	Pair Corr
0.88	XEG	iShares SPTSX Capped	Pair Corr
0.73	HURA	Global X Uranium	Pair Corr
0.71	HFU	BetaPro SPTSX Capped	Pair Corr
0.9	XBAL	iShares Core Balanced	Pair Corr
0.83	OILU	SavvyLong Geared Crude	Pair Corr
0.65	SBT	Silver Bullion Trust	Pair Corr
0.85	ZSML	BMO SP Small	Pair Corr
0.81	XDV	iShares Canadian Select	Pair Corr
0.96	CYH	iShares Global Monthly	Pair Corr
0.97	HXH	Global X Canadian	Pair Corr
0.97	RID	RBC Quant EAFE	Pair Corr
0.78	CLF	iShares 1 5	Pair Corr
0.91	XESG	iShares ESG Aware	Pair Corr
0.93	FMAE	Fidelity Multi Alt	Pair Corr
0.88	TGFI	TD Active Global	Pair Corr
0.87	XDIV	iShares Core MSCI	Pair Corr
0.88	PXS	Invesco RAFI Index	Pair Corr
0.92	XSMH	iShares SP Small	Pair Corr
0.84	PSB	Invesco 1 5	Pair Corr
0.86	HXU	BetaPro SP TSX	Pair Corr
0.64	CORE	PIMCO Canadian Core	Pair Corr
0.91	VCN	Vanguard FTSE Canada	Pair Corr
0.92	COPP	Global X Copper	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		-0.19	-0.21	0.24	0.18	-0.35	-0.04	0.32	0.22	0.28	META
MSFT	-0.19		0.84	-0.63	-0.85	0.8	0.92	0.29	-0.89	-0.94	MSFT
UBER	-0.21	0.84		-0.55	-0.76	0.88	0.75	0.16	-0.8	-0.83	UBER
F	0.24	-0.63	-0.55		0.37	-0.56	-0.45	0.04	0.75	0.68	F
T	0.18	-0.85	-0.76	0.37		-0.64	-0.84	-0.26	0.72	0.74	T
A	-0.35	0.8	0.88	-0.56	-0.64		0.64	0.13	-0.74	-0.83	A
CRM	-0.04	0.92	0.75	-0.45	-0.84	0.64		0.51	-0.79	-0.88	CRM
JPM	0.32	0.29	0.16	0.04	-0.26	0.13	0.51		-0.05	-0.26	JPM
MRK	0.22	-0.89	-0.8	0.75	0.72	-0.74	-0.79	-0.05		0.91	MRK
XOM	0.28	-0.94	-0.83	0.68	0.74	-0.83	-0.88	-0.26	0.91		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

CRM	+ 0.92	MSFT
XOM	+ 0.91	MRK
A	+ 0.88	UBER
UBER	+ 0.84	MSFT
A	+ 0.8	MSFT
CRM	+ 0.75	UBER

High negative correlations

XOM	- 0.94	MSFT
MRK	- 0.89	MSFT
XOM	- 0.88	CRM
T	- 0.85	MSFT
CRM	- 0.84	T
XOM	- 0.83	A

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
META	1.53	0.21	0.03	(0.41)	1.51	(1.75)	3.43	(2.81)	13.69
MSFT	1.31	(0.30)	0.00	(0.57)	0.00	0.00	2.19	(2.87)	13.28
UBER	1.56	(0.22)	0.00	(0.27)	0.00	0.00	2.70	(3.82)	11.09
F	1.25	0.14	0.11	0.26	0.96	(1.56)	3.61	(1.98)	7.50
T	1.04	0.14	0.02	(1.11)	0.99	(1.21)	3.87	(1.76)	7.44
A	1.26	(0.24)	0.00	(0.95)	0.00	0.00	2.90	(2.72)	7.85
CRM	1.78	(0.29)	0.00	(0.14)	0.00	0.00	3.66	(4.75)	12.37
JPM	1.24	(0.13)	(0.03)	0.03	1.76	(1.30)	2.34	(3.11)	8.17
MRK	1.26	0.28	0.17	0.52	1.11	(1.40)	2.81	(2.06)	8.74
XOM	1.29	0.36	0.18	3.96	1.09	(1.50)	2.90	(2.44)	6.83

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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