Correlation Between BMO MSCI and Mackenzie Canadian
Can any of the company-specific risk be diversified away by investing in both BMO MSCI 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 MSCI 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 MSCI EAFE and Mackenzie Canadian Equity, you can compare the effects of market volatilities on BMO MSCI 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 MSCI with a short position of Mackenzie Canadian. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO MSCI and Mackenzie Canadian.
Diversification Opportunities for BMO MSCI and Mackenzie Canadian
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between BMO and Mackenzie is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding BMO MSCI EAFE and Mackenzie Canadian Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mackenzie Canadian Equity and BMO MSCI 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 MSCI EAFE 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 Equity has no effect on the direction of BMO MSCI i.e., BMO MSCI and Mackenzie Canadian go up and down completely randomly.
Pair Corralation between BMO MSCI and Mackenzie Canadian
Assuming the 90 days trading horizon BMO MSCI is expected to generate 1.14 times less return on investment than Mackenzie Canadian. But when comparing it to its historical volatility, BMO MSCI EAFE is 1.04 times less risky than Mackenzie Canadian. It trades about 0.08 of its potential returns per unit of risk. Mackenzie Canadian Equity is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 11,684 in Mackenzie Canadian Equity on November 27, 2024 and sell it today you would earn a total of 3,729 from holding Mackenzie Canadian Equity or generate 31.92% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
BMO MSCI EAFE vs. Mackenzie Canadian Equity
Performance |
| Timeline |
| BMO MSCI EAFE |
| Mackenzie Canadian Equity |
BMO MSCI and Mackenzie Canadian Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO MSCI and Mackenzie Canadian
The main advantage of trading using opposite BMO MSCI and Mackenzie Canadian positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO MSCI 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 MSCI vs. Mackenzie Canadian Equity | BMO MSCI vs. BMO MSCI Emerging | BMO MSCI vs. Mackenzie Large Cap | BMO MSCI vs. BMO Long Federal |
| Mackenzie Canadian vs. Mackenzie Large Cap | Mackenzie Canadian vs. Goldman Sachs ActiveBeta | Mackenzie Canadian vs. BMO MSCI EAFE | Mackenzie Canadian vs. BMO Long Federal |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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