Pair Correlation Between Questrade Russell and Royal Bank

This module allows you to analyze existing cross correlation between Questrade Russell 1000 Equal Weight US Technology Index ETF Hedged to CAD and Royal Bank of Canada. You can compare the effects of market volatilities on Questrade Russell and Royal Bank 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 Questrade Russell with a short position of Royal Bank. See also your portfolio center. Please also check ongoing floating volatility patterns of Questrade Russell and Royal Bank.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Questrade Russell 1000 Equal W  vs   Royal Bank of Canada
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Questrade Russell is expected to generate 1.59 times less return on investment than Royal Bank. In addition to that, Questrade Russell is 1.09 times more volatile than Royal Bank of Canada. It trades about 0.6 of its total potential returns per unit of risk. Royal Bank of Canada is currently generating about 1.04 per unit of volatility. If you would invest  9,440  in Royal Bank of Canada on September 22, 2017 and sell it today you would earn a total of  683  from holding Royal Bank of Canada or generate 7.24% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Questrade Russell and Royal Bank
0.96

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy95.24%
ValuesDaily Returns

Diversification

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding Questrade Russell 1000 Equal W and Royal Bank of Canada in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Royal Bank of and Questrade Russell 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 Questrade Russell 1000 Equal Weight US Technology Index ETF Hedged to CAD are associated (or correlated) with Royal Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Royal Bank of has no effect on the direction of Questrade Russell i.e. Questrade Russell and Royal Bank go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Questrade Russell 1000

  
40 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Questrade Russell 1000 Equal Weight US Technology Index ETF Hedged to CAD are ranked lower than 40 (%) of all global equities and portfolios over the last 30 days.

Royal Bank of

  
71 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Royal Bank of Canada are ranked lower than 71 (%) of all global equities and portfolios over the last 30 days.