Correlation Between Jhancock Disciplined and Invesco Discovery

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

By analyzing existing cross correlation between Jhancock Disciplined Value and Invesco Discovery, you can compare the effects of market volatilities on Jhancock Disciplined and Invesco Discovery 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 Disciplined with a short position of Invesco Discovery. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jhancock Disciplined and Invesco Discovery.

Diversification Opportunities for Jhancock Disciplined and Invesco Discovery

0.98

Correlation Coefficient

Jhancock Disciplined  Invesco Discovery

Almost no diversification

The 3 months correlation between Jhancock and Invesco is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Disciplined Value and Invesco Discovery in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco Discovery and Jhancock Disciplined 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 Disciplined Value are associated (or correlated) with Invesco Discovery. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco Discovery has no effect on the direction of Jhancock Disciplined i.e., Jhancock Disciplined and Invesco Discovery go up and down completely randomly.

Pair Corralation between Jhancock Disciplined and Invesco Discovery

Assuming the 90 days horizon Jhancock Disciplined is expected to generate 1.89 times less return on investment than Invesco Discovery. But when comparing it to its historical volatility, Jhancock Disciplined Value is 1.54 times less risky than Invesco Discovery. It trades about 0.17 of its potential returns per unit of risk. Invesco Discovery is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest  9,655  in Invesco Discovery on September 3, 2024 and sell it today you would earn a total of  1,706  from holding Invesco Discovery or generate 17.67% return on investment over 90 days.

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

Jhancock Disciplined Value  vs.  Invesco Discovery

Jhancock Disciplined

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Jhancock Disciplined Value are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Jhancock Disciplined may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Invesco Discovery

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Invesco Discovery are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak technical and fundamental indicators, Invesco Discovery showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Jhancock Disciplined and Invesco Discovery

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

The idea behind Jhancock Disciplined Value and Invesco Discovery 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.