Correlation Between Mackenzie Core and IShares ESG
Can any of the company-specific risk be diversified away by investing in both Mackenzie Core and IShares ESG 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 IShares ESG 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 iShares ESG Aware, you can compare the effects of market volatilities on Mackenzie Core and IShares ESG 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 IShares ESG. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mackenzie Core and IShares ESG.
Diversification Opportunities for Mackenzie Core and IShares ESG
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Mackenzie and IShares is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Mackenzie Core Plus and iShares ESG Aware in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares ESG Aware 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 IShares ESG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares ESG Aware has no effect on the direction of Mackenzie Core i.e., Mackenzie Core and IShares ESG go up and down completely randomly.
Pair Corralation between Mackenzie Core and IShares ESG
Assuming the 90 days trading horizon Mackenzie Core Plus is expected to under-perform the IShares ESG. In addition to that, Mackenzie Core is 1.12 times more volatile than iShares ESG Aware. It trades about -0.1 of its total potential returns per unit of risk. iShares ESG Aware is currently generating about -0.11 per unit of volatility. If you would invest 1,820 in iShares ESG Aware on August 26, 2024 and sell it today you would lose (27.00) from holding iShares ESG Aware or give up 1.48% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mackenzie Core Plus vs. iShares ESG Aware
Performance |
| Timeline |
| Mackenzie Core Plus |
| iShares ESG Aware |
Mackenzie Core and IShares ESG Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mackenzie Core and IShares ESG
The main advantage of trading using opposite Mackenzie Core and IShares ESG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mackenzie Core position performs unexpectedly, IShares ESG 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 IShares ESG will offset losses from the drop in IShares ESG's long position.| Mackenzie Core vs. Franklin Global Aggregate | Mackenzie Core vs. CIBC Core Plus | Mackenzie Core vs. Mackenzie Global Fixed |
| IShares ESG vs. Mackenzie Core Plus | IShares ESG vs. Mackenzie Unconstrained Bond | IShares ESG vs. Mackenzie Floating Rate | IShares ESG vs. Mackenzie Canadian Aggregate |
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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