Correlation Between BMO MSCI and Mackenzie Global

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

By analyzing existing cross correlation between BMO MSCI USA and Mackenzie Global Infrastructure, you can compare the effects of market volatilities on BMO MSCI and Mackenzie Global 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 Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of BMO MSCI and Mackenzie Global.

Diversification Opportunities for BMO MSCI and Mackenzie Global

0.85

Correlation Coefficient

BMO MSCI  Mackenzie Global

Very poor diversification

The 3 months correlation between BMO and Mackenzie is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding BMO MSCI USA and Mackenzie Global Infrastructur in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mackenzie Global Inf 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 USA are associated (or correlated) with Mackenzie Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mackenzie Global Inf has no effect on the direction of BMO MSCI i.e., BMO MSCI and Mackenzie Global go up and down completely randomly.

Pair Corralation between BMO MSCI and Mackenzie Global

Assuming the 90 days trading horizon BMO MSCI is expected to generate 1.14 times less return on investment than Mackenzie Global. But when comparing it to its historical volatility, BMO MSCI USA is 1.04 times less risky than Mackenzie Global. It trades about 0.2 of its potential returns per unit of risk. Mackenzie Global Infrastructure is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest  13,046  in Mackenzie Global Infrastructure on September 2, 2024 and sell it today you would earn a total of  1,466  from holding Mackenzie Global Infrastructure or generate 11.24% return on investment over 90 days.

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

BMO MSCI USA  vs.  Mackenzie Global Infrastructur

BMO MSCI USA

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in BMO MSCI USA are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of very unfluctuating basic indicators, BMO MSCI may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Mackenzie Global Inf

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Mackenzie Global Infrastructure are ranked lower than 17 (%) of all global equities and portfolios over the last 90 days. In spite of very unfluctuating basic indicators, Mackenzie Global may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with BMO MSCI and Mackenzie Global

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

The idea behind BMO MSCI USA and Mackenzie Global Infrastructure 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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.