Correlation Between BMO Aggregate and Mackenzie Government
Can any of the company-specific risk be diversified away by investing in both BMO Aggregate and Mackenzie Government 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 Government 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 Government Long, you can compare the effects of market volatilities on BMO Aggregate and Mackenzie Government 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 Government. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO Aggregate and Mackenzie Government.
Diversification Opportunities for BMO Aggregate and Mackenzie Government
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between BMO and Mackenzie is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding BMO Aggregate Bond and Mackenzie Government Long in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mackenzie Government Long 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 Government. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mackenzie Government Long has no effect on the direction of BMO Aggregate i.e., BMO Aggregate and Mackenzie Government go up and down completely randomly.
Pair Corralation between BMO Aggregate and Mackenzie Government
Assuming the 90 days trading horizon BMO Aggregate Bond is expected to generate 0.63 times more return on investment than Mackenzie Government. However, BMO Aggregate Bond is 1.6 times less risky than Mackenzie Government. It trades about 0.08 of its potential returns per unit of risk. Mackenzie Government Long is currently generating about -0.06 per unit of risk. If you would invest 1,379 in BMO Aggregate Bond on August 29, 2024 and sell it today you would earn a total of 9.00 from holding BMO Aggregate Bond or generate 0.65% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
BMO Aggregate Bond vs. Mackenzie Government Long
Performance |
| Timeline |
| BMO Aggregate Bond |
| Mackenzie Government Long |
BMO Aggregate and Mackenzie Government Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO Aggregate and Mackenzie Government
The main advantage of trading using opposite BMO Aggregate and Mackenzie Government positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO Aggregate position performs unexpectedly, Mackenzie Government 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 Government will offset losses from the drop in Mackenzie Government's long position.| BMO Aggregate vs. iShares Core MSCI | BMO Aggregate vs. Vanguard FTSE Canada | BMO Aggregate vs. Vanguard Canadian Aggregate | BMO Aggregate vs. iShares Core MSCI |
| Mackenzie Government vs. iShares SPTSX 60 | Mackenzie Government vs. iShares Core SP | Mackenzie Government vs. iShares Core SPTSX | Mackenzie Government vs. BMO Aggregate Bond |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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