Correlation Between Mackenzie Core and Manulife Multifactor
Can any of the company-specific risk be diversified away by investing in both Mackenzie Core and Manulife Multifactor 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 Core and Manulife Multifactor into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mackenzie Core Plus and Manulife Multifactor Large, you can compare the effects of market volatilities on Mackenzie Core and Manulife Multifactor 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 Core with a short position of Manulife Multifactor. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mackenzie Core and Manulife Multifactor.
Diversification Opportunities for Mackenzie Core and Manulife Multifactor
0.55 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Mackenzie and Manulife is 0.55. Overlapping area represents the amount of risk that can be diversified away by holding Mackenzie Core Plus and Manulife Multifactor Large in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Manulife Multifactor and Mackenzie Core 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 Core Plus are associated (or correlated) with Manulife Multifactor. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Manulife Multifactor has no effect on the direction of Mackenzie Core i.e., Mackenzie Core and Manulife Multifactor go up and down completely randomly.
Pair Corralation between Mackenzie Core and Manulife Multifactor
Assuming the 90 days trading horizon Mackenzie Core is expected to generate 33.1 times less return on investment than Manulife Multifactor. But when comparing it to its historical volatility, Mackenzie Core Plus is 1.64 times less risky than Manulife Multifactor. It trades about 0.01 of its potential returns per unit of risk. Manulife Multifactor Large is currently generating about 0.19 of returns per unit of risk over similar time horizon. If you would invest 5,294 in Manulife Multifactor Large on October 26, 2024 and sell it today you would earn a total of 139.00 from holding Manulife Multifactor Large or generate 2.63% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mackenzie Core Plus vs. Manulife Multifactor Large
Performance |
| Timeline |
| Mackenzie Core Plus |
| Manulife Multifactor |
Mackenzie Core and Manulife Multifactor Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mackenzie Core and Manulife Multifactor
The main advantage of trading using opposite Mackenzie Core and Manulife Multifactor positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mackenzie Core position performs unexpectedly, Manulife Multifactor 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 Manulife Multifactor will offset losses from the drop in Manulife Multifactor's long position.| Mackenzie Core vs. Mackenzie Core Plus | Mackenzie Core vs. Mackenzie Floating Rate | Mackenzie Core vs. Mackenzie Unconstrained Bond | Mackenzie Core vs. Mackenzie Canadian Short |
Check out your portfolio center.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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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