Correlation Between BMO SPTSX and Mackenzie International
Can any of the company-specific risk be diversified away by investing in both BMO SPTSX and Mackenzie International 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 International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BMO SPTSX Equal and Mackenzie International Equity, you can compare the effects of market volatilities on BMO SPTSX and Mackenzie International 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 International. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO SPTSX and Mackenzie International.
Diversification Opportunities for BMO SPTSX and Mackenzie International
-0.26 | Correlation Coefficient |
Very good diversification
The 3 months correlation between BMO and Mackenzie is -0.26. Overlapping area represents the amount of risk that can be diversified away by holding BMO SPTSX Equal and Mackenzie International Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mackenzie International 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 Equal are associated (or correlated) with Mackenzie International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mackenzie International has no effect on the direction of BMO SPTSX i.e., BMO SPTSX and Mackenzie International go up and down completely randomly.
Pair Corralation between BMO SPTSX and Mackenzie International
Assuming the 90 days trading horizon BMO SPTSX Equal is expected to under-perform the Mackenzie International. But the etf apears to be less risky and, when comparing its historical volatility, BMO SPTSX Equal is 1.52 times less risky than Mackenzie International. The etf trades about -0.05 of its potential returns per unit of risk. The Mackenzie International Equity is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 11,753 in Mackenzie International Equity on September 25, 2024 and sell it today you would earn a total of 161.00 from holding Mackenzie International Equity or generate 1.37% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
BMO SPTSX Equal vs. Mackenzie International Equity
Performance |
Timeline |
BMO SPTSX Equal |
Mackenzie International |
BMO SPTSX and Mackenzie International Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with BMO SPTSX and Mackenzie International
The main advantage of trading using opposite BMO SPTSX and Mackenzie International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BMO SPTSX position performs unexpectedly, Mackenzie International 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 International will offset losses from the drop in Mackenzie International's long position.BMO SPTSX vs. BMO Covered Call | BMO SPTSX vs. BMO Canadian Dividend | BMO SPTSX vs. BMO Covered Call | BMO SPTSX vs. BMO Canadian High |
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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
Other Complementary Tools
Headlines Timeline Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity | |
FinTech Suite Use AI to screen and filter profitable investment opportunities | |
ETF Categories List of ETF categories grouped based on various criteria, such as the investment strategy or type of investments | |
AI Portfolio Architect Use AI to generate optimal portfolios and find profitable investment opportunities | |
Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. |