Correlation Between Mackenzie Aggregate and Mackenzie Developed

Can any of the company-specific risk be diversified away by investing in both Mackenzie Aggregate and Mackenzie Developed 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 Mackenzie Aggregate and Mackenzie Developed into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Mackenzie Aggregate Bond and Mackenzie Developed ex North, you can compare the effects of market volatilities on Mackenzie Aggregate and Mackenzie Developed 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 Mackenzie Aggregate with a short position of Mackenzie Developed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mackenzie Aggregate and Mackenzie Developed.

Diversification Opportunities for Mackenzie Aggregate and Mackenzie Developed

0.7

Correlation Coefficient

Mackenzie Aggregate  Mackenzie Developed

Poor diversification

The 3 months correlation between Mackenzie and Mackenzie is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Mackenzie Aggregate Bond and Mackenzie Developed ex North in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mackenzie Developed and Mackenzie 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 Mackenzie Aggregate Bond are associated (or correlated) with Mackenzie Developed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mackenzie Developed has no effect on the direction of Mackenzie Aggregate i.e., Mackenzie Aggregate and Mackenzie Developed go up and down completely randomly.

Pair Corralation between Mackenzie Aggregate and Mackenzie Developed

Assuming the 90 days trading horizon Mackenzie Aggregate Bond is expected to generate 1.18 times more return on investment than Mackenzie Developed. However, Mackenzie Aggregate is 1.18 times more volatile than Mackenzie Developed ex North. It trades about -0.01 of its potential returns per unit of risk. Mackenzie Developed ex North is currently generating about -0.02 per unit of risk. If you would invest  8,195  in Mackenzie Aggregate Bond on November 29, 2024 and sell it today you would lose (22.00) from holding Mackenzie Aggregate Bond or give up 0.27% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Mackenzie Aggregate Bond  vs.  Mackenzie Developed ex North

Mackenzie Aggregate Bond

Risk-Adjusted Performance

Very Weak

Over the last 90 days Mackenzie Aggregate Bond has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy fundamental drivers, Mackenzie Aggregate is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

Mackenzie Developed

Risk-Adjusted Performance

Very Weak

Over the last 90 days Mackenzie Developed ex North has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy basic indicators, Mackenzie Developed is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with Mackenzie Aggregate and Mackenzie Developed

The main advantage of trading using opposite Mackenzie Aggregate and Mackenzie Developed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mackenzie Aggregate position performs unexpectedly, Mackenzie Developed 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 Developed will offset losses from the drop in Mackenzie Developed's long position.

The idea behind Mackenzie Aggregate Bond and Mackenzie Developed ex North pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.