Correlation Between DTF Tax and John Hancock

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

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

Diversification Opportunities for DTF Tax and John Hancock

0.09

Correlation Coefficient

DTF Tax  John Hancock

Significant diversification

The 3 months correlation between DTF and John is 0.09. Overlapping area represents the amount of risk that can be diversified away by holding DTF Tax Free and John Hancock Investors in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on John Hancock Investors and DTF Tax 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 DTF Tax Free 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 Investors has no effect on the direction of DTF Tax i.e., DTF Tax and John Hancock go up and down completely randomly.

Pair Corralation between DTF Tax and John Hancock

Considering the 90-day investment horizon DTF Tax is expected to generate 10.07 times less return on investment than John Hancock. But when comparing it to its historical volatility, DTF Tax Free is 1.24 times less risky than John Hancock. It trades about 0.02 of its potential returns per unit of risk. John Hancock Investors is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest  1,337  in John Hancock Investors on September 14, 2024 and sell it today you would earn a total of  52.00  from holding John Hancock Investors or generate 3.89% return on investment over 90 days.

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

DTF Tax Free  vs.  John Hancock Investors

DTF Tax Free

Risk-Adjusted Performance

1 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in DTF Tax Free are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, DTF Tax is not utilizing all of its potentials. The recent stock price disturbance, may contribute to mid-run losses for the stockholders.

John Hancock Investors

Risk-Adjusted Performance

12 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in John Hancock Investors are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. Despite fairly strong technical indicators, John Hancock is not utilizing all of its potentials. The current stock price confusion, may contribute to short-horizon losses for the traders.

Pair Trading with DTF Tax and John Hancock

The main advantage of trading using opposite DTF Tax and John Hancock positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if DTF Tax 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 DTF Tax Free and John Hancock Investors 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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.