Correlation Between Jhancock Disciplined and Absolute Capital

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

By analyzing existing cross correlation between Jhancock Disciplined Value and Absolute Capital Defender, you can compare the effects of market volatilities on Jhancock Disciplined and Absolute Capital 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 Disciplined with a short position of Absolute Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jhancock Disciplined and Absolute Capital.

Diversification Opportunities for Jhancock Disciplined and Absolute Capital

0.85

Correlation Coefficient

Jhancock Disciplined  Absolute Capital

Very poor diversification

The 3 months correlation between Jhancock and Absolute is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Disciplined Value and Absolute Capital Defender in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Absolute Capital Defender and Jhancock Disciplined 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 Disciplined Value are associated (or correlated) with Absolute Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Absolute Capital Defender has no effect on the direction of Jhancock Disciplined i.e., Jhancock Disciplined and Absolute Capital go up and down completely randomly.

Pair Corralation between Jhancock Disciplined and Absolute Capital

Assuming the 90 days horizon Jhancock Disciplined is expected to generate 1.59 times less return on investment than Absolute Capital. In addition to that, Jhancock Disciplined is 1.97 times more volatile than Absolute Capital Defender. It trades about 0.02 of its total potential returns per unit of risk. Absolute Capital Defender is currently generating about 0.06 per unit of volatility. If you would invest  963.00  in Absolute Capital Defender on October 13, 2024 and sell it today you would earn a total of  135.00  from holding Absolute Capital Defender or generate 14.02% return on investment over 90 days.

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

Jhancock Disciplined Value  vs.  Absolute Capital Defender

Jhancock Disciplined

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Jhancock Disciplined Value has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Absolute Capital Defender

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Jhancock Disciplined and Absolute Capital

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

The idea behind Jhancock Disciplined Value and Absolute Capital Defender 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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.