Correlation Between BMO Short and Mackenzie High
Can any of the company-specific risk be diversified away by investing in both BMO Short and Mackenzie High 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 Short and Mackenzie High into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BMO Short Term IG and Mackenzie High Yield, you can compare the effects of market volatilities on BMO Short and Mackenzie High 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 Short with a short position of Mackenzie High. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO Short and Mackenzie High.
Diversification Opportunities for BMO Short and Mackenzie High
0.12 | Correlation Coefficient |
Average diversification
The 3 months correlation between BMO and Mackenzie is 0.12. Overlapping area represents the amount of risk that can be diversified away by holding BMO Short Term IG and Mackenzie High Yield in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mackenzie High Yield and BMO Short 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 Short Term IG are associated (or correlated) with Mackenzie High. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mackenzie High Yield has no effect on the direction of BMO Short i.e., BMO Short and Mackenzie High go up and down completely randomly.
Pair Corralation between BMO Short and Mackenzie High
Assuming the 90 days trading horizon BMO Short Term IG is expected to under-perform the Mackenzie High. But the etf apears to be less risky and, when comparing its historical volatility, BMO Short Term IG is 1.74 times less risky than Mackenzie High. The etf trades about -0.03 of its potential returns per unit of risk. The Mackenzie High Yield is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 8,325 in Mackenzie High Yield on August 29, 2024 and sell it today you would earn a total of 77.00 from holding Mackenzie High Yield or generate 0.92% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
BMO Short Term IG vs. Mackenzie High Yield
Performance |
| Timeline |
| BMO Short Term |
| Mackenzie High Yield |
BMO Short and Mackenzie High Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BMO Short and Mackenzie High
The main advantage of trading using opposite BMO Short and Mackenzie High positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO Short position performs unexpectedly, Mackenzie High 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 High will offset losses from the drop in Mackenzie High's long position.| BMO Short vs. BMO Mid Term IG | BMO Short vs. BMO Short Provincial | BMO Short vs. BMO Short Federal | BMO Short vs. BMO Floating Rate |
| Mackenzie High vs. Mackenzie Developed ex North | Mackenzie High vs. Mackenzie Global Sustainable | Mackenzie High vs. Mackenzie Aggregate Bond | Mackenzie High vs. Mackenzie Canadian Ultra |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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