Correlation Between Total Return and Jhancock Diversified

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

By analyzing existing cross correlation between Total Return Bond and Jhancock Diversified Macro, you can compare the effects of market volatilities on Total Return 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 Total Return with a short position of Jhancock Diversified. Check out your portfolio center. Please also check ongoing floating volatility patterns of Total Return and Jhancock Diversified.

Diversification Opportunities for Total Return and Jhancock Diversified

0.48

Correlation Coefficient

Total Return  Jhancock Diversified

Very weak diversification

The 3 months correlation between Total and Jhancock is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Total Return Bond and Jhancock Diversified Macro in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jhancock Diversified and Total Return 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 Total Return Bond 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 Total Return i.e., Total Return and Jhancock Diversified go up and down completely randomly.

Pair Corralation between Total Return and Jhancock Diversified

Assuming the 90 days horizon Total Return Bond is expected to under-perform the Jhancock Diversified. But the mutual fund apears to be less risky and, when comparing its historical volatility, Total Return Bond is 1.39 times less risky than Jhancock Diversified. The mutual fund trades about -0.09 of its potential returns per unit of risk. The Jhancock Diversified Macro is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest  891.00  in Jhancock Diversified Macro on September 22, 2024 and sell it today you would earn a total of  15.00  from holding Jhancock Diversified Macro or generate 1.68% return on investment over 90 days.

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

Total Return Bond  vs.  Jhancock Diversified Macro

Total Return Bond

Risk-Adjusted Performance

0 of 100

Very Weak

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

Jhancock Diversified

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Total Return and Jhancock Diversified

The main advantage of trading using opposite Total Return and Jhancock Diversified positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Total Return 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.

The idea behind Total Return Bond and Jhancock Diversified Macro 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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.