Correlation Between BMO SPTSX and Mackenzie Canadian
Can any of the company-specific risk be diversified away by investing in both BMO SPTSX and Mackenzie Canadian 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 SPTSX and Mackenzie Canadian into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BMO SPTSX Capped and Mackenzie Canadian Ultra, you can compare the effects of market volatilities on BMO SPTSX and Mackenzie Canadian 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 SPTSX with a short position of Mackenzie Canadian. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO SPTSX and Mackenzie Canadian.
Diversification Opportunities for BMO SPTSX and Mackenzie Canadian
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between BMO and Mackenzie is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding BMO SPTSX Capped and Mackenzie Canadian Ultra in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mackenzie Canadian Ultra and BMO SPTSX 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 SPTSX Capped are associated (or correlated) with Mackenzie Canadian. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mackenzie Canadian Ultra has no effect on the direction of BMO SPTSX i.e., BMO SPTSX and Mackenzie Canadian go up and down completely randomly.
Pair Corralation between BMO SPTSX and Mackenzie Canadian
Assuming the 90 days trading horizon BMO SPTSX Capped is expected to generate 22.92 times more return on investment than Mackenzie Canadian. However, BMO SPTSX is 22.92 times more volatile than Mackenzie Canadian Ultra. It trades about 0.66 of its potential returns per unit of risk. Mackenzie Canadian Ultra is currently generating about 0.77 per unit of risk. If you would invest 3,237 in BMO SPTSX Capped on September 1, 2024 and sell it today you would earn a total of 207.00 from holding BMO SPTSX Capped or generate 6.39% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
BMO SPTSX Capped vs. Mackenzie Canadian Ultra
Performance |
| Timeline |
| BMO SPTSX Capped |
| Mackenzie Canadian Ultra |
BMO SPTSX and Mackenzie Canadian Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO SPTSX and Mackenzie Canadian
The main advantage of trading using opposite BMO SPTSX and Mackenzie Canadian positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO SPTSX position performs unexpectedly, Mackenzie Canadian 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 Canadian will offset losses from the drop in Mackenzie Canadian's long position.| BMO SPTSX vs. BMO SP 500 | BMO SPTSX vs. Vanguard FTSE Canada | BMO SPTSX vs. Global X SPTSX | BMO SPTSX vs. iShares Core SP |
| Mackenzie Canadian vs. Mackenzie Developed ex North | Mackenzie Canadian vs. Mackenzie Global Sustainable | Mackenzie Canadian vs. Mackenzie Aggregate Bond | Mackenzie Canadian vs. Mackenzie TIPS Index |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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