Correlation Between IShares Russell and Janus Henderson

Can any of the company-specific risk be diversified away by investing in both IShares Russell and Janus Henderson 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 IShares Russell and Janus Henderson into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between iShares Russell 2000 and Janus Henderson Small, you can compare the effects of market volatilities on IShares Russell and Janus Henderson 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 IShares Russell with a short position of Janus Henderson. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares Russell and Janus Henderson.

Diversification Opportunities for IShares Russell and Janus Henderson

0.99

Correlation Coefficient

IShares Russell  Janus Henderson

No risk reduction

The 3 months correlation between IShares and Janus is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding iShares Russell 2000 and Janus Henderson Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Janus Henderson Small and IShares Russell 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 iShares Russell 2000 are associated (or correlated) with Janus Henderson. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Janus Henderson Small has no effect on the direction of IShares Russell i.e., IShares Russell and Janus Henderson go up and down completely randomly.

Pair Corralation between IShares Russell and Janus Henderson

Considering the 90-day investment horizon IShares Russell is expected to generate 1.07 times less return on investment than Janus Henderson. But when comparing it to its historical volatility, iShares Russell 2000 is 1.04 times less risky than Janus Henderson. It trades about 0.2 of its potential returns per unit of risk. Janus Henderson Small is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest  6,189  in Janus Henderson Small on September 2, 2024 and sell it today you would earn a total of  1,099  from holding Janus Henderson Small or generate 17.76% return on investment over 90 days.

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

iShares Russell 2000  vs.  Janus Henderson Small

iShares Russell 2000

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in iShares Russell 2000 are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of very unfluctuating basic indicators, IShares Russell displayed solid returns over the last few months and may actually be approaching a breakup point.

Janus Henderson Small

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Janus Henderson Small are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. Despite quite unsteady primary indicators, Janus Henderson disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with IShares Russell and Janus Henderson

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

The idea behind iShares Russell 2000 and Janus Henderson Small 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.