Correlation Between John Hancock and Calvert Responsible

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

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

Diversification Opportunities for John Hancock and Calvert Responsible

0.56

Correlation Coefficient

John Hancock  Calvert Responsible

Very weak diversification

The 3 months correlation between John and Calvert is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding John Hancock Emerging and Calvert Responsible Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Responsible Index and John Hancock 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 John Hancock Emerging are associated (or correlated) with Calvert Responsible. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Responsible Index has no effect on the direction of John Hancock i.e., John Hancock and Calvert Responsible go up and down completely randomly.

Pair Corralation between John Hancock and Calvert Responsible

Assuming the 90 days horizon John Hancock is expected to generate 1.37 times less return on investment than Calvert Responsible. In addition to that, John Hancock is 1.39 times more volatile than Calvert Responsible Index. It trades about 0.04 of its total potential returns per unit of risk. Calvert Responsible Index is currently generating about 0.08 per unit of volatility. If you would invest  2,414  in Calvert Responsible Index on October 24, 2024 and sell it today you would earn a total of  341.00  from holding Calvert Responsible Index or generate 14.13% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	99.6%
Values	Daily Returns

John Hancock Emerging  vs.  Calvert Responsible Index

John Hancock Emerging

Risk-Adjusted Performance

0 of 100

Very Weak

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

Calvert Responsible Index

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Calvert Responsible Index are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Calvert Responsible is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with John Hancock and Calvert Responsible

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

The idea behind John Hancock Emerging and Calvert Responsible Index 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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.