Correlation Between BMO SPTSX and Mackenzie Emerging
Can any of the company-specific risk be diversified away by investing in both BMO SPTSX and Mackenzie Emerging 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 Emerging 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 Emerging Markets, you can compare the effects of market volatilities on BMO SPTSX and Mackenzie Emerging 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 Emerging. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO SPTSX and Mackenzie Emerging.
Diversification Opportunities for BMO SPTSX and Mackenzie Emerging
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between BMO and Mackenzie is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding BMO SPTSX Capped and Mackenzie Emerging Markets in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mackenzie Emerging 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 Emerging. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mackenzie Emerging has no effect on the direction of BMO SPTSX i.e., BMO SPTSX and Mackenzie Emerging go up and down completely randomly.
Pair Corralation between BMO SPTSX and Mackenzie Emerging
Assuming the 90 days trading horizon BMO SPTSX Capped is expected to generate 1.13 times more return on investment than Mackenzie Emerging. However, BMO SPTSX is 1.13 times more volatile than Mackenzie Emerging Markets. It trades about 0.11 of its potential returns per unit of risk. Mackenzie Emerging Markets is currently generating about 0.07 per unit of risk. If you would invest 3,289 in BMO SPTSX Capped on November 28, 2024 and sell it today you would earn a total of 89.00 from holding BMO SPTSX Capped or generate 2.71% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
BMO SPTSX Capped vs. Mackenzie Emerging Markets
Performance |
| Timeline |
| BMO SPTSX Capped |
| Mackenzie Emerging |
BMO SPTSX and Mackenzie Emerging Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO SPTSX and Mackenzie Emerging
The main advantage of trading using opposite BMO SPTSX and Mackenzie Emerging positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO SPTSX position performs unexpectedly, Mackenzie Emerging 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 Emerging will offset losses from the drop in Mackenzie Emerging'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 Emerging vs. Mackenzie Emerging Markets | Mackenzie Emerging vs. Mackenzie Investment Grade | Mackenzie Emerging vs. Mackenzie Core Plus | Mackenzie Emerging 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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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