Correlation Between John Hancock and Goldman Sachs

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

By analyzing existing cross correlation between John Hancock Multifactor and Goldman Sachs ActiveBeta, you can compare the effects of market volatilities on John Hancock and Goldman Sachs 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 Goldman Sachs. Check out your portfolio center. Please also check ongoing floating volatility patterns of John Hancock and Goldman Sachs.

Diversification Opportunities for John Hancock and Goldman Sachs

0.97

Correlation Coefficient

John Hancock  Goldman Sachs

Almost no diversification

The 3 months correlation between John and Goldman is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding John Hancock Multifactor and Goldman Sachs ActiveBeta in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Goldman Sachs ActiveBeta 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 Multifactor are associated (or correlated) with Goldman Sachs. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Goldman Sachs ActiveBeta has no effect on the direction of John Hancock i.e., John Hancock and Goldman Sachs go up and down completely randomly.

Pair Corralation between John Hancock and Goldman Sachs

Given the investment horizon of 90 days John Hancock is expected to generate 1.21 times less return on investment than Goldman Sachs. But when comparing it to its historical volatility, John Hancock Multifactor is 1.04 times less risky than Goldman Sachs. It trades about 0.07 of its potential returns per unit of risk. Goldman Sachs ActiveBeta is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  11,331  in Goldman Sachs ActiveBeta on October 23, 2024 and sell it today you would earn a total of  432.00  from holding Goldman Sachs ActiveBeta or generate 3.81% return on investment over 90 days.

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

John Hancock Multifactor  vs.  Goldman Sachs ActiveBeta

John Hancock Multifactor

Risk-Adjusted Performance

5 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in John Hancock Multifactor are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent primary indicators, John Hancock is not utilizing all of its potentials. The recent stock price mess, may contribute to short-term losses for the institutional investors.

Goldman Sachs ActiveBeta

Risk-Adjusted Performance

6 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Goldman Sachs ActiveBeta are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound essential indicators, Goldman Sachs is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with John Hancock and Goldman Sachs

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

The idea behind John Hancock Multifactor and Goldman Sachs ActiveBeta 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.