Correlation Between Eaton Vance and John Hancock

Can any of the company-specific risk be diversified away by investing in both Eaton Vance and John Hancock 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 Eaton Vance and John Hancock into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Eaton Vance Tax and John Hancock Tax, you can compare the effects of market volatilities on Eaton Vance and John Hancock 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 Eaton Vance with a short position of John Hancock. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eaton Vance and John Hancock.

Diversification Opportunities for Eaton Vance and John Hancock

0.73

Correlation Coefficient

Eaton Vance  John Hancock

Poor diversification

The 3 months correlation between Eaton and John is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Eaton Vance Tax and John Hancock Tax in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on John Hancock Tax and Eaton Vance 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 Eaton Vance Tax are associated (or correlated) with John Hancock. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of John Hancock Tax has no effect on the direction of Eaton Vance i.e., Eaton Vance and John Hancock go up and down completely randomly.

Pair Corralation between Eaton Vance and John Hancock

Considering the 90-day investment horizon Eaton Vance Tax is expected to under-perform the John Hancock. But the fund apears to be less risky and, when comparing its historical volatility, Eaton Vance Tax is 1.23 times less risky than John Hancock. The fund trades about -0.02 of its potential returns per unit of risk. The John Hancock Tax is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  2,295  in John Hancock Tax on December 2, 2024 and sell it today you would earn a total of  55.00  from holding John Hancock Tax or generate 2.4% return on investment over 90 days.

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

Eaton Vance Tax  vs.  John Hancock Tax

Eaton Vance Tax

Risk-Adjusted Performance

Very Weak

Over the last 90 days Eaton Vance Tax has generated negative risk-adjusted returns adding no value to fund investors. In spite of very healthy basic indicators, Eaton Vance is not utilizing all of its potentials. The newest stock price disarray, may contribute to short-term losses for the investors.

John Hancock Tax

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in John Hancock Tax are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of rather sound basic indicators, John Hancock is not utilizing all of its potentials. The recent stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with Eaton Vance and John Hancock

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

The idea behind Eaton Vance Tax and John Hancock Tax 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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.