Correlation Between IShares Core and RBC Quant
Can any of the company-specific risk be diversified away by investing in both IShares Core and RBC Quant 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 IShares Core and RBC Quant into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares Core MSCI and RBC Quant EAFE, you can compare the effects of market volatilities on IShares Core and RBC Quant 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 IShares Core with a short position of RBC Quant. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Core and RBC Quant.
Diversification Opportunities for IShares Core and RBC Quant
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IShares and RBC is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core MSCI and RBC Quant EAFE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on RBC Quant EAFE and IShares Core 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 iShares Core MSCI are associated (or correlated) with RBC Quant. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of RBC Quant EAFE has no effect on the direction of IShares Core i.e., IShares Core and RBC Quant go up and down completely randomly.
Pair Corralation between IShares Core and RBC Quant
Assuming the 90 days trading horizon iShares Core MSCI is expected to generate 1.0 times more return on investment than RBC Quant. However, IShares Core is 1.0 times more volatile than RBC Quant EAFE. It trades about -0.02 of its potential returns per unit of risk. RBC Quant EAFE is currently generating about -0.07 per unit of risk. If you would invest 3,226 in iShares Core MSCI on August 29, 2024 and sell it today you would lose (29.00) from holding iShares Core MSCI or give up 0.9% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares Core MSCI vs. RBC Quant EAFE
Performance |
| Timeline |
| iShares Core MSCI |
| RBC Quant EAFE |
IShares Core and RBC Quant Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares Core and RBC Quant
The main advantage of trading using opposite IShares Core and RBC Quant positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares Core position performs unexpectedly, RBC Quant 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 Quant will offset losses from the drop in RBC Quant's long position.| IShares Core vs. BMO SP 500 | IShares Core vs. BMO MSCI Emerging | IShares Core vs. BMO Global Infrastructure | IShares Core vs. BMO MSCI EAFE |
| RBC Quant vs. RBC Quant Dividend | RBC Quant vs. RBC Quant Canadian | RBC Quant vs. RBC Quant European | RBC Quant vs. RBC Quant Emerging |
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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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