Correlation Between RBC Quant and Vanguard FTSE
Can any of the company-specific risk be diversified away by investing in both RBC Quant and Vanguard FTSE 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 RBC Quant and Vanguard FTSE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between RBC Quant Canadian and Vanguard FTSE Emerging, you can compare the effects of market volatilities on RBC Quant and Vanguard FTSE 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 RBC Quant with a short position of Vanguard FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of RBC Quant and Vanguard FTSE.
Diversification Opportunities for RBC Quant and Vanguard FTSE
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between RBC and Vanguard is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding RBC Quant Canadian and Vanguard FTSE Emerging in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard FTSE Emerging and RBC Quant 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 RBC Quant Canadian are associated (or correlated) with Vanguard FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard FTSE Emerging has no effect on the direction of RBC Quant i.e., RBC Quant and Vanguard FTSE go up and down completely randomly.
Pair Corralation between RBC Quant and Vanguard FTSE
Assuming the 90 days trading horizon RBC Quant Canadian is expected to generate 0.66 times more return on investment than Vanguard FTSE. However, RBC Quant Canadian is 1.51 times less risky than Vanguard FTSE. It trades about 0.15 of its potential returns per unit of risk. Vanguard FTSE Emerging is currently generating about -0.07 per unit of risk. If you would invest 2,899 in RBC Quant Canadian on September 3, 2024 and sell it today you would earn a total of 110.00 from holding RBC Quant Canadian or generate 3.79% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
RBC Quant Canadian vs. Vanguard FTSE Emerging
Performance |
| Timeline |
| RBC Quant Canadian |
| Vanguard FTSE Emerging |
RBC Quant and Vanguard FTSE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with RBC Quant and Vanguard FTSE
The main advantage of trading using opposite RBC Quant and Vanguard FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if RBC Quant position performs unexpectedly, Vanguard FTSE 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 Vanguard FTSE will offset losses from the drop in Vanguard FTSE's long position.| RBC Quant vs. RBC Quant Dividend | RBC Quant vs. RBC Quant EAFE | RBC Quant vs. Invesco Canadian Dividend | RBC Quant vs. RBC Canadian Preferred |
| Vanguard FTSE vs. RBC Quant European | Vanguard FTSE vs. RBC Quant Canadian | Vanguard FTSE vs. RBC Quant EAFE | Vanguard FTSE vs. RBC Quant Dividend |
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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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