Correlation Between Legg Mason and Jhancock Diversified
Can any of the company-specific risk be diversified away by investing in both Legg Mason and Jhancock Diversified 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 Legg Mason and Jhancock Diversified into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Legg Mason Bw and Jhancock Diversified Macro, you can compare the effects of market volatilities on Legg Mason and Jhancock Diversified 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 Legg Mason with a short position of Jhancock Diversified. Check out your portfolio center. Please also check ongoing floating volatility patterns of Legg Mason and Jhancock Diversified.
Diversification Opportunities for Legg Mason and Jhancock Diversified
0.16 | Correlation Coefficient |
Average diversification
The 3 months correlation between Legg and Jhancock is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason Bw and Jhancock Diversified Macro in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jhancock Diversified and Legg Mason 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 Legg Mason Bw are associated (or correlated) with Jhancock Diversified. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jhancock Diversified has no effect on the direction of Legg Mason i.e., Legg Mason and Jhancock Diversified go up and down completely randomly.
Pair Corralation between Legg Mason and Jhancock Diversified
Assuming the 90 days horizon Legg Mason Bw is expected to generate 1.42 times more return on investment than Jhancock Diversified. However, Legg Mason is 1.42 times more volatile than Jhancock Diversified Macro. It trades about 0.09 of its potential returns per unit of risk. Jhancock Diversified Macro is currently generating about 0.02 per unit of risk. If you would invest 1,511 in Legg Mason Bw on December 2, 2024 and sell it today you would earn a total of 606.00 from holding Legg Mason Bw or generate 40.11% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Legg Mason Bw vs. Jhancock Diversified Macro
Performance |
Timeline |
Legg Mason Bw |
Jhancock Diversified |
Legg Mason and Jhancock Diversified Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Legg Mason and Jhancock Diversified
The main advantage of trading using opposite Legg Mason and Jhancock Diversified positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Legg Mason position performs unexpectedly, Jhancock Diversified 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 Jhancock Diversified will offset losses from the drop in Jhancock Diversified's long position.Legg Mason vs. T Rowe Price | Legg Mason vs. High Yield Fund Investor | Legg Mason vs. Payden High Income | Legg Mason vs. City National Rochdale |
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Check out your portfolio center.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 Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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