Correlation Between Mackenzie TIPS and Mackenzie Aggregate
Can any of the company-specific risk be diversified away by investing in both Mackenzie TIPS and Mackenzie Aggregate 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 TIPS and Mackenzie Aggregate into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mackenzie TIPS Index and Mackenzie Aggregate Bond, you can compare the effects of market volatilities on Mackenzie TIPS and Mackenzie Aggregate 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 TIPS with a short position of Mackenzie Aggregate. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mackenzie TIPS and Mackenzie Aggregate.
Diversification Opportunities for Mackenzie TIPS and Mackenzie Aggregate
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Mackenzie and Mackenzie is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Mackenzie TIPS Index and Mackenzie Aggregate Bond in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mackenzie Aggregate Bond and Mackenzie TIPS 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 TIPS Index are associated (or correlated) with Mackenzie Aggregate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mackenzie Aggregate Bond has no effect on the direction of Mackenzie TIPS i.e., Mackenzie TIPS and Mackenzie Aggregate go up and down completely randomly.
Pair Corralation between Mackenzie TIPS and Mackenzie Aggregate
Assuming the 90 days trading horizon Mackenzie TIPS is expected to generate 1.25 times less return on investment than Mackenzie Aggregate. But when comparing it to its historical volatility, Mackenzie TIPS Index is 1.21 times less risky than Mackenzie Aggregate. It trades about 0.07 of its potential returns per unit of risk. Mackenzie Aggregate Bond is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 7,464 in Mackenzie Aggregate Bond on August 25, 2024 and sell it today you would earn a total of 616.00 from holding Mackenzie Aggregate Bond or generate 8.25% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mackenzie TIPS Index vs. Mackenzie Aggregate Bond
Performance |
| Timeline |
| Mackenzie TIPS Index |
| Mackenzie Aggregate Bond |
Mackenzie TIPS and Mackenzie Aggregate Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mackenzie TIPS and Mackenzie Aggregate
The main advantage of trading using opposite Mackenzie TIPS and Mackenzie Aggregate positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mackenzie TIPS position performs unexpectedly, Mackenzie Aggregate 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 Mackenzie Aggregate will offset losses from the drop in Mackenzie Aggregate's long position.| Mackenzie TIPS vs. Global Atomic Corp | Mackenzie TIPS vs. enCore Energy Corp | Mackenzie TIPS vs. Fission Uranium Corp | Mackenzie TIPS vs. NexGen Energy |
| Mackenzie Aggregate vs. Mackenzie Developed ex North | Mackenzie Aggregate vs. Mackenzie Global Sustainable | Mackenzie Aggregate vs. Mackenzie Canadian Ultra | Mackenzie Aggregate vs. Mackenzie TIPS Index |
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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