Correlation Between BMO SPTSX and Mackenzie Investment

Can any of the company-specific risk be diversified away by investing in both BMO SPTSX and Mackenzie Investment 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 Investment 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 Investment Grade, you can compare the effects of market volatilities on BMO SPTSX and Mackenzie Investment 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 Investment. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO SPTSX and Mackenzie Investment.

Diversification Opportunities for BMO SPTSX and Mackenzie Investment

-0.39

Correlation Coefficient

BMO SPTSX  Mackenzie Investment

Very good diversification

The 3 months correlation between BMO and Mackenzie is -0.39. Overlapping area represents the amount of risk that can be diversified away by holding BMO SPTSX Equal and Mackenzie Investment Grade in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mackenzie Investment 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 Investment. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mackenzie Investment has no effect on the direction of BMO SPTSX i.e., BMO SPTSX and Mackenzie Investment go up and down completely randomly.

Pair Corralation between BMO SPTSX and Mackenzie Investment

Assuming the 90 days trading horizon BMO SPTSX Equal is expected to under-perform the Mackenzie Investment. In addition to that, BMO SPTSX is 5.27 times more volatile than Mackenzie Investment Grade. It trades about -0.05 of its total potential returns per unit of risk. Mackenzie Investment Grade is currently generating about -0.15 per unit of volatility. If you would invest  8,615  in Mackenzie Investment Grade on December 30, 2024 and sell it today you would lose (102.00) from holding Mackenzie Investment Grade or give up 1.18% of portfolio value over 90 days.

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

BMO SPTSX Equal  vs.  Mackenzie Investment Grade

BMO SPTSX Equal

Risk-Adjusted Performance

Very Weak

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

Mackenzie Investment

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Mackenzie Investment Grade are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy basic indicators, Mackenzie Investment is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with BMO SPTSX and Mackenzie Investment

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

The idea behind BMO SPTSX Equal and Mackenzie Investment Grade 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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.