Correlation Between Jhancock Diversified and Smallcap Growth

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

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

Diversification Opportunities for Jhancock Diversified and Smallcap Growth

-0.22

Correlation Coefficient

Jhancock Diversified  Smallcap Growth

Very good diversification

The 3 months correlation between Jhancock and Smallcap is -0.22. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Diversified Macro and Smallcap Growth Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Smallcap Growth and Jhancock Diversified 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 Jhancock Diversified Macro are associated (or correlated) with Smallcap Growth. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Smallcap Growth has no effect on the direction of Jhancock Diversified i.e., Jhancock Diversified and Smallcap Growth go up and down completely randomly.

Pair Corralation between Jhancock Diversified and Smallcap Growth

Assuming the 90 days horizon Jhancock Diversified is expected to generate 12.19 times less return on investment than Smallcap Growth. But when comparing it to its historical volatility, Jhancock Diversified Macro is 2.1 times less risky than Smallcap Growth. It trades about 0.01 of its potential returns per unit of risk. Smallcap Growth Fund is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  1,200  in Smallcap Growth Fund on September 21, 2024 and sell it today you would earn a total of  405.00  from holding Smallcap Growth Fund or generate 33.75% return on investment over 90 days.

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

Jhancock Diversified Macro  vs.  Smallcap Growth Fund

Jhancock Diversified

Risk-Adjusted Performance

0 of 100

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.

Smallcap Growth

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Smallcap Growth Fund are ranked lower than 1 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Smallcap Growth is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Jhancock Diversified and Smallcap Growth

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

The idea behind Jhancock Diversified Macro and Smallcap Growth Fund 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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.