Correlation Between Vanguard FTSE and Mackenzie International

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Can any of the company-specific risk be diversified away by investing in both Vanguard FTSE and Mackenzie International 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 Vanguard FTSE and Mackenzie International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard FTSE Developed and Mackenzie International Equity, you can compare the effects of market volatilities on Vanguard FTSE and Mackenzie International 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 Vanguard FTSE with a short position of Mackenzie International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard FTSE and Mackenzie International.

Diversification Opportunities for Vanguard FTSE and Mackenzie International

0.85
  Correlation Coefficient

Very poor diversification

The 3 months correlation between Vanguard and Mackenzie is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Developed and Mackenzie International Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mackenzie International and Vanguard FTSE 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 Vanguard FTSE Developed are associated (or correlated) with Mackenzie International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mackenzie International has no effect on the direction of Vanguard FTSE i.e., Vanguard FTSE and Mackenzie International go up and down completely randomly.

Pair Corralation between Vanguard FTSE and Mackenzie International

Assuming the 90 days trading horizon Vanguard FTSE Developed is expected to generate 0.98 times more return on investment than Mackenzie International. However, Vanguard FTSE Developed is 1.02 times less risky than Mackenzie International. It trades about 0.23 of its potential returns per unit of risk. Mackenzie International Equity is currently generating about 0.2 per unit of risk. If you would invest  3,471  in Vanguard FTSE Developed on October 26, 2024 and sell it today you would earn a total of  107.00  from holding Vanguard FTSE Developed or generate 3.08% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Vanguard FTSE Developed  vs.  Mackenzie International Equity

 Performance 
       Timeline  
Vanguard FTSE Developed 

Risk-Adjusted Performance

5 of 100

 
Weak
 
Strong
Modest
Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard FTSE Developed are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy basic indicators, Vanguard FTSE is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.
Mackenzie International 

Risk-Adjusted Performance

5 of 100

 
Weak
 
Strong
Modest
Compared to the overall equity markets, risk-adjusted returns on investments in Mackenzie International Equity are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy basic indicators, Mackenzie International is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

Vanguard FTSE and Mackenzie International Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Vanguard FTSE and Mackenzie International

The main advantage of trading using opposite Vanguard FTSE and Mackenzie International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard FTSE position performs unexpectedly, Mackenzie International 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 International will offset losses from the drop in Mackenzie International's long position.
The idea behind Vanguard FTSE Developed and Mackenzie International Equity pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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