Correlation Between Jhancock Diversified and Mfs International

Can any of the company-specific risk be diversified away by investing in both Jhancock Diversified and Mfs International 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 Mfs International 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 Mfs International Large, you can compare the effects of market volatilities on Jhancock Diversified and Mfs International 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 Mfs International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jhancock Diversified and Mfs International.

Diversification Opportunities for Jhancock Diversified and Mfs International

-0.54

Correlation Coefficient

Jhancock Diversified  Mfs International

Excellent diversification

The 3 months correlation between Jhancock and Mfs is -0.54. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Diversified Macro and Mfs International Large in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mfs International Large 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 Mfs International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mfs International Large has no effect on the direction of Jhancock Diversified i.e., Jhancock Diversified and Mfs International go up and down completely randomly.

Pair Corralation between Jhancock Diversified and Mfs International

Assuming the 90 days horizon Jhancock Diversified is expected to generate 2.18 times less return on investment than Mfs International. But when comparing it to its historical volatility, Jhancock Diversified Macro is 1.42 times less risky than Mfs International. It trades about 0.02 of its potential returns per unit of risk. Mfs International Large is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  1,213  in Mfs International Large on October 23, 2024 and sell it today you would earn a total of  108.00  from holding Mfs International Large or generate 8.9% return on investment over 90 days.

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

Jhancock Diversified Macro  vs.  Mfs International Large

Jhancock Diversified

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Jhancock Diversified Macro are ranked lower than 10 (%) 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 latest stock price disturbance, may contribute to short-term losses for the investors.

Mfs International Large

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Mfs International Large has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's fundamental drivers 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 Mfs International

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

The idea behind Jhancock Diversified Macro and Mfs International Large 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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.