Correlation Between Mackenzie High and BMO High
Can any of the company-specific risk be diversified away by investing in both Mackenzie High and BMO High 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 High and BMO High into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mackenzie High Yield and BMO High Yield, you can compare the effects of market volatilities on Mackenzie High and BMO High 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 High with a short position of BMO High. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mackenzie High and BMO High.
Diversification Opportunities for Mackenzie High and BMO High
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Mackenzie and BMO is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Mackenzie High Yield and BMO High Yield in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BMO High Yield and Mackenzie High 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 High Yield are associated (or correlated) with BMO High. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BMO High Yield has no effect on the direction of Mackenzie High i.e., Mackenzie High and BMO High go up and down completely randomly.
Pair Corralation between Mackenzie High and BMO High
Assuming the 90 days trading horizon Mackenzie High is expected to generate 1.17 times less return on investment than BMO High. In addition to that, Mackenzie High is 1.18 times more volatile than BMO High Yield. It trades about 0.1 of its total potential returns per unit of risk. BMO High Yield is currently generating about 0.13 per unit of volatility. If you would invest 993.00 in BMO High Yield on September 1, 2024 and sell it today you would earn a total of 140.00 from holding BMO High Yield or generate 14.1% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mackenzie High Yield vs. BMO High Yield
Performance |
| Timeline |
| Mackenzie High Yield |
| BMO High Yield |
Mackenzie High and BMO High Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mackenzie High and BMO High
The main advantage of trading using opposite Mackenzie High and BMO High positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mackenzie High position performs unexpectedly, BMO High 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 High will offset losses from the drop in BMO High's long position.| Mackenzie High vs. Mackenzie Developed ex North | Mackenzie High vs. Mackenzie Global Sustainable | Mackenzie High vs. Mackenzie Aggregate Bond | Mackenzie High vs. Mackenzie Canadian Ultra |
| BMO High vs. BMO Mid Federal | BMO High vs. BMO Short Corporate | BMO High vs. BMO Emerging Markets | BMO High vs. BMO Long Corporate |
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 Bonds Directory module to find actively traded corporate debentures issued by US companies.
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