Correlation Between Tax Exempt and John Hancock

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

By analyzing existing cross correlation between Tax Exempt Fund Of and John Hancock Government, you can compare the effects of market volatilities on Tax Exempt and John Hancock 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 Tax Exempt with a short position of John Hancock. Check out your portfolio center. Please also check ongoing floating volatility patterns of Tax Exempt and John Hancock.

Diversification Opportunities for Tax Exempt and John Hancock

-0.12

Correlation Coefficient

Tax Exempt  John Hancock

Good diversification

The 3 months correlation between Tax and John is -0.12. Overlapping area represents the amount of risk that can be diversified away by holding Tax Exempt Fund Of and John Hancock Government in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on John Hancock Government and Tax Exempt 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 Tax Exempt Fund Of are associated (or correlated) with John Hancock. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of John Hancock Government has no effect on the direction of Tax Exempt i.e., Tax Exempt and John Hancock go up and down completely randomly.

Pair Corralation between Tax Exempt and John Hancock

Assuming the 90 days horizon Tax Exempt Fund Of is expected to under-perform the John Hancock. But the mutual fund apears to be less risky and, when comparing its historical volatility, Tax Exempt Fund Of is 1.2 times less risky than John Hancock. The mutual fund trades about -0.05 of its potential returns per unit of risk. The John Hancock Government is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest  766.00  in John Hancock Government on December 30, 2024 and sell it today you would earn a total of  16.00  from holding John Hancock Government or generate 2.09% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	75.81%
Values	Daily Returns

Tax Exempt Fund Of  vs.  John Hancock Government

Tax Exempt Fund

Risk-Adjusted Performance

Very Weak

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

John Hancock Government

Risk-Adjusted Performance

Good

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

Pair Trading with Tax Exempt and John Hancock

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

The idea behind Tax Exempt Fund Of and John Hancock Government 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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.