Correlation Between Mackenzie Large and IShares ESG
Can any of the company-specific risk be diversified away by investing in both Mackenzie Large 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 Large 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 Large Cap and iShares ESG Advanced, you can compare the effects of market volatilities on Mackenzie Large 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 Large with a short position of IShares ESG. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mackenzie Large and IShares ESG.
Diversification Opportunities for Mackenzie Large and IShares ESG
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Mackenzie and IShares is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Mackenzie Large Cap and iShares ESG Advanced in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares ESG Advanced and Mackenzie Large 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 Large Cap 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 Advanced has no effect on the direction of Mackenzie Large i.e., Mackenzie Large and IShares ESG go up and down completely randomly.
Pair Corralation between Mackenzie Large and IShares ESG
Assuming the 90 days trading horizon Mackenzie Large Cap is expected to generate 1.0 times more return on investment than IShares ESG. However, Mackenzie Large is 1.0 times more volatile than iShares ESG Advanced. It trades about 0.16 of its potential returns per unit of risk. iShares ESG Advanced is currently generating about 0.11 per unit of risk. If you would invest 14,469 in Mackenzie Large Cap on September 12, 2024 and sell it today you would earn a total of 10,286 from holding Mackenzie Large Cap or generate 71.09% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mackenzie Large Cap vs. iShares ESG Advanced
Performance |
| Timeline |
| Mackenzie Large Cap |
| iShares ESG Advanced |
Mackenzie Large and IShares ESG Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mackenzie Large and IShares ESG
The main advantage of trading using opposite Mackenzie Large and IShares ESG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mackenzie Large 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 Large vs. Mackenzie Canadian Equity | Mackenzie Large vs. BMO MSCI EAFE | Mackenzie Large vs. Goldman Sachs ActiveBeta | Mackenzie Large vs. BMO Long Federal |
| IShares ESG vs. iShares SPTSX 60 | IShares ESG vs. iShares Core SPTSX | IShares ESG vs. BMO SPTSX Capped | IShares ESG vs. Vanguard FTSE Canada |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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