Correlation Between Astor Longshort and Jhancock Short

Can any of the company-specific risk be diversified away by investing in both Astor Longshort and Jhancock Short 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 Astor Longshort and Jhancock Short into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Astor Longshort Fund and Jhancock Short Duration, you can compare the effects of market volatilities on Astor Longshort and Jhancock Short 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 Astor Longshort with a short position of Jhancock Short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Astor Longshort and Jhancock Short.

Diversification Opportunities for Astor Longshort and Jhancock Short

-0.41

Correlation Coefficient

Astor Longshort  Jhancock Short

Very good diversification

The 3 months correlation between Astor and Jhancock is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding Astor Longshort Fund and Jhancock Short Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jhancock Short Duration and Astor Longshort 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 Astor Longshort Fund are associated (or correlated) with Jhancock Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jhancock Short Duration has no effect on the direction of Astor Longshort i.e., Astor Longshort and Jhancock Short go up and down completely randomly.

Pair Corralation between Astor Longshort and Jhancock Short

Assuming the 90 days horizon Astor Longshort Fund is expected to under-perform the Jhancock Short. In addition to that, Astor Longshort is 3.8 times more volatile than Jhancock Short Duration. It trades about -0.05 of its total potential returns per unit of risk. Jhancock Short Duration is currently generating about 0.2 per unit of volatility. If you would invest  922.00  in Jhancock Short Duration on December 30, 2024 and sell it today you would earn a total of  15.00  from holding Jhancock Short Duration or generate 1.63% return on investment over 90 days.

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

Astor Longshort Fund  vs.  Jhancock Short Duration

Astor Longshort

Risk-Adjusted Performance

Very Weak

Over the last 90 days Astor Longshort Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Astor Longshort is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Jhancock Short Duration

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Jhancock Short Duration are ranked lower than 15 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Jhancock Short is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Astor Longshort and Jhancock Short

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

The idea behind Astor Longshort Fund and Jhancock Short Duration 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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.