Correlation Between Jhancock Diversified and Brown Advisory

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

By analyzing existing cross correlation between Jhancock Diversified Macro and Brown Advisory , you can compare the effects of market volatilities on Jhancock Diversified and Brown Advisory 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 Jhancock Diversified with a short position of Brown Advisory. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jhancock Diversified and Brown Advisory.

Diversification Opportunities for Jhancock Diversified and Brown Advisory

-0.26

Correlation Coefficient

Jhancock Diversified  Brown Advisory

Very good diversification

The 3 months correlation between Jhancock and Brown is -0.26. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Diversified Macro and Brown Advisory in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brown Advisory and Jhancock Diversified 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 Jhancock Diversified Macro are associated (or correlated) with Brown Advisory. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brown Advisory has no effect on the direction of Jhancock Diversified i.e., Jhancock Diversified and Brown Advisory go up and down completely randomly.

Pair Corralation between Jhancock Diversified and Brown Advisory

Assuming the 90 days horizon Jhancock Diversified is expected to generate 18.25 times less return on investment than Brown Advisory. But when comparing it to its historical volatility, Jhancock Diversified Macro is 1.48 times less risky than Brown Advisory. It trades about 0.0 of its potential returns per unit of risk. Brown Advisory is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  1,120  in Brown Advisory on October 10, 2024 and sell it today you would earn a total of  199.00  from holding Brown Advisory or generate 17.77% return on investment over 90 days.

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

Jhancock Diversified Macro  vs.  Brown Advisory

Jhancock Diversified

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Jhancock Diversified Macro are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Jhancock Diversified is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Brown Advisory

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Brown Advisory has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's technical indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Jhancock Diversified and Brown Advisory

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

The idea behind Jhancock Diversified Macro and Brown Advisory 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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.