Correlation Between BMO Aggregate and Mackenzie Core
Can any of the company-specific risk be diversified away by investing in both BMO Aggregate and Mackenzie Core 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 BMO Aggregate and Mackenzie Core into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BMO Aggregate Bond and Mackenzie Core Plus, you can compare the effects of market volatilities on BMO Aggregate and Mackenzie Core 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 BMO Aggregate with a short position of Mackenzie Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO Aggregate and Mackenzie Core.
Diversification Opportunities for BMO Aggregate and Mackenzie Core
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between BMO and Mackenzie is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding BMO Aggregate Bond and Mackenzie Core Plus in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mackenzie Core Plus and BMO Aggregate 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 BMO Aggregate Bond are associated (or correlated) with Mackenzie Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mackenzie Core Plus has no effect on the direction of BMO Aggregate i.e., BMO Aggregate and Mackenzie Core go up and down completely randomly.
Pair Corralation between BMO Aggregate and Mackenzie Core
Assuming the 90 days trading horizon BMO Aggregate Bond is expected to under-perform the Mackenzie Core. In addition to that, BMO Aggregate is 1.09 times more volatile than Mackenzie Core Plus. It trades about -0.11 of its total potential returns per unit of risk. Mackenzie Core Plus is currently generating about -0.07 per unit of volatility. If you would invest 1,918 in Mackenzie Core Plus on August 25, 2024 and sell it today you would lose (8.00) from holding Mackenzie Core Plus or give up 0.42% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
BMO Aggregate Bond vs. Mackenzie Core Plus
Performance |
| Timeline |
| BMO Aggregate Bond |
| Mackenzie Core Plus |
BMO Aggregate and Mackenzie Core Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO Aggregate and Mackenzie Core
The main advantage of trading using opposite BMO Aggregate and Mackenzie Core positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO Aggregate position performs unexpectedly, Mackenzie Core 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 Core will offset losses from the drop in Mackenzie Core's long position.| BMO Aggregate vs. Mackenzie Core Plus | BMO Aggregate vs. Mackenzie Unconstrained Bond | BMO Aggregate vs. Mackenzie Floating Rate | BMO Aggregate vs. Mackenzie Canadian Aggregate |
| Mackenzie Core vs. Mackenzie Core Plus | Mackenzie Core vs. Mackenzie Unconstrained Bond | Mackenzie Core vs. Mackenzie Floating Rate | Mackenzie Core vs. Mackenzie Canadian Aggregate |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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