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 1000 Equal Weight US Technology Index ETF Hedged to CAD is expected to generate 1.37 times more return on investment than Royal Bank. However, Questrade Russell is 1.37 times more volatile than Royal Bank of Canada. It trades about 0.52 of its potential returns per unit of risk. Royal Bank of Canada is currently generating about 0.16 per unit of risk. If you would invest  2,891  in Questrade Russell 1000 Equal Weight US Technology Index ETF Hedged to CAD on November 15, 2017 and sell it today you would earn a total of  116  from holding Questrade Russell 1000 Equal Weight US Technology Index ETF Hedged to CAD or generate 4.01% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Questrade Russell and Royal Bank
0.76

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy56.52%
ValuesDaily Returns

Diversification

Poor 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