Correlation Between Mackenzie Floating and BMO Low

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Can any of the company-specific risk be diversified away by investing in both Mackenzie Floating and BMO Low at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Mackenzie Floating and BMO Low into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mackenzie Floating Rate and BMO Low Volatility, you can compare the effects of market volatilities on Mackenzie Floating and BMO Low and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Mackenzie Floating with a short position of BMO Low. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mackenzie Floating and BMO Low.

Diversification Opportunities for Mackenzie Floating and BMO Low

MackenzieBMODiversified AwayMackenzieBMODiversified Away100%
-0.33
  Correlation Coefficient

Very good diversification

The 3 months correlation between Mackenzie and BMO is -0.33. Overlapping area represents the amount of risk that can be diversified away by holding Mackenzie Floating Rate and BMO Low Volatility in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BMO Low Volatility and Mackenzie Floating is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Mackenzie Floating Rate are associated (or correlated) with BMO Low. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BMO Low Volatility has no effect on the direction of Mackenzie Floating i.e., Mackenzie Floating and BMO Low go up and down completely randomly.

Pair Corralation between Mackenzie Floating and BMO Low

Assuming the 90 days trading horizon Mackenzie Floating is expected to generate 1.64 times less return on investment than BMO Low. But when comparing it to its historical volatility, Mackenzie Floating Rate is 3.63 times less risky than BMO Low. It trades about 0.26 of its potential returns per unit of risk. BMO Low Volatility is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  2,559  in BMO Low Volatility on September 24, 2024 and sell it today you would earn a total of  33.00  from holding BMO Low Volatility or generate 1.29% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthInsignificant
Accuracy95.45%
ValuesDaily Returns

Mackenzie Floating Rate  vs.  BMO Low Volatility

 Performance 
JavaScript chart by amCharts 3.21.15OctNovDec -4-202
JavaScript chart by amCharts 3.21.15MFT ZLI
       Timeline  
Mackenzie Floating Rate 

Risk-Adjusted Performance

26 of 100

 
Weak
 
Strong
Solid
Compared to the overall equity markets, risk-adjusted returns on investments in Mackenzie Floating Rate are ranked lower than 26 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy basic indicators, Mackenzie Floating is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15OctNovDecNovDec16.716.816.91717.117.2
BMO Low Volatility 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days BMO Low Volatility has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy forward indicators, BMO Low is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15OctNovDecNovDec25.225.425.625.82626.226.426.6

Mackenzie Floating and BMO Low Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-0.33-0.13-0.0711-0.0355-0.0017770.04010.08020.20.40.6 51015
JavaScript chart by amCharts 3.21.15MFT ZLI
       Returns  

Pair Trading with Mackenzie Floating and BMO Low

The main advantage of trading using opposite Mackenzie Floating and BMO Low positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mackenzie Floating position performs unexpectedly, BMO Low can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in BMO Low will offset losses from the drop in BMO Low's long position.
The idea behind Mackenzie Floating Rate and BMO Low Volatility pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Share Portfolio module to track or share privately all of your investments from the convenience of any device.

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