Correlation Between Jhancock Short and Massmutual Select

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

By analyzing existing cross correlation between Jhancock Short Duration and Massmutual Select Blue, you can compare the effects of market volatilities on Jhancock Short and Massmutual Select 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 Short with a short position of Massmutual Select. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jhancock Short and Massmutual Select.

Diversification Opportunities for Jhancock Short and Massmutual Select

-0.02

Correlation Coefficient

Jhancock Short  Massmutual Select

Good diversification

The 3 months correlation between Jhancock and Massmutual is -0.02. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Short Duration and Massmutual Select Blue in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Massmutual Select Blue and Jhancock Short 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 Short Duration are associated (or correlated) with Massmutual Select. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Massmutual Select Blue has no effect on the direction of Jhancock Short i.e., Jhancock Short and Massmutual Select go up and down completely randomly.

Pair Corralation between Jhancock Short and Massmutual Select

Assuming the 90 days horizon Jhancock Short is expected to generate 1.28 times less return on investment than Massmutual Select. But when comparing it to its historical volatility, Jhancock Short Duration is 11.72 times less risky than Massmutual Select. It trades about 0.17 of its potential returns per unit of risk. Massmutual Select Blue is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  2,230  in Massmutual Select Blue on October 5, 2024 and sell it today you would earn a total of  119.00  from holding Massmutual Select Blue or generate 5.34% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	99.68%
Values	Daily Returns

Jhancock Short Duration  vs.  Massmutual Select Blue

Jhancock Short Duration

Risk-Adjusted Performance

0 of 100

Very Weak

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

Massmutual Select Blue

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Massmutual Select Blue are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Massmutual Select may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Pair Trading with Jhancock Short and Massmutual Select

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

The idea behind Jhancock Short Duration and Massmutual Select Blue 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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.