Correlation Between Jhancock Short and Stone Ridge

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

Diversification Opportunities for Jhancock Short and Stone Ridge

0.28

Correlation Coefficient

Jhancock Short  Stone Ridge

Modest diversification

The 3 months correlation between Jhancock and Stone is 0.28. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Short Duration and Stone Ridge Diversified in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Stone Ridge Diversified 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 Stone Ridge. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Stone Ridge Diversified has no effect on the direction of Jhancock Short i.e., Jhancock Short and Stone Ridge go up and down completely randomly.

Pair Corralation between Jhancock Short and Stone Ridge

Assuming the 90 days horizon Jhancock Short Duration is expected to under-perform the Stone Ridge. But the mutual fund apears to be less risky and, when comparing its historical volatility, Jhancock Short Duration is 2.85 times less risky than Stone Ridge. The mutual fund trades about -0.28 of its potential returns per unit of risk. The Stone Ridge Diversified is currently generating about 0.37 of returns per unit of risk over similar time horizon. If you would invest  1,052  in Stone Ridge Diversified on October 5, 2024 and sell it today you would earn a total of  16.00  from holding Stone Ridge Diversified or generate 1.52% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	95.24%
Values	Daily Returns

Jhancock Short Duration  vs.  Stone Ridge Diversified

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.

Stone Ridge Diversified

Risk-Adjusted Performance

18 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Stone Ridge Diversified are ranked lower than 18 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Stone Ridge 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 Short and Stone Ridge

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

The idea behind Jhancock Short Duration and Stone Ridge Diversified 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 Bonds Directory module to find actively traded corporate debentures issued by US companies.