Correlation Between RBC Quant and RBC Short
Can any of the company-specific risk be diversified away by investing in both RBC Quant and RBC Short 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 RBC Short into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between RBC Quant European and RBC Short Term, you can compare the effects of market volatilities on RBC Quant and RBC Short 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 RBC Short. Check out your portfolio center. Please also check ongoing floating volatility patterns of RBC Quant and RBC Short.
Diversification Opportunities for RBC Quant and RBC Short
Excellent diversification
The 3 months correlation between RBC and RBC is -0.68. Overlapping area represents the amount of risk that can be diversified away by holding RBC Quant European and RBC Short Term in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on RBC Short Term 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 European are associated (or correlated) with RBC Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of RBC Short Term has no effect on the direction of RBC Quant i.e., RBC Quant and RBC Short go up and down completely randomly.
Pair Corralation between RBC Quant and RBC Short
Assuming the 90 days trading horizon RBC Quant European is expected to under-perform the RBC Short. In addition to that, RBC Quant is 2.91 times more volatile than RBC Short Term. It trades about -0.06 of its total potential returns per unit of risk. RBC Short Term is currently generating about 0.27 per unit of volatility. If you would invest 2,065 in RBC Short Term on August 28, 2024 and sell it today you would earn a total of 86.00 from holding RBC Short Term or generate 4.16% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 98.41% |
| Values | Daily Returns |
RBC Quant European vs. RBC Short Term
Performance |
| Timeline |
| RBC Quant European |
| RBC Short Term |
RBC Quant and RBC Short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with RBC Quant and RBC Short
The main advantage of trading using opposite RBC Quant and RBC Short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if RBC Quant position performs unexpectedly, RBC Short 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 RBC Short will offset losses from the drop in RBC Short's long position.| RBC Quant vs. BMO Europe High | RBC Quant vs. BMO High Dividend | RBC Quant vs. BMO Covered Call | RBC Quant vs. BMO Premium Yield |
| RBC Short vs. Mackenzie High Yield | RBC Short vs. Mackenzie Core Plus | RBC Short vs. Mackenzie Canadian Aggregate | RBC Short vs. Mackenzie Core Plus |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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