Correlation Between Jhancock Disciplined and Transamerica Large

Can any of the company-specific risk be diversified away by investing in both Jhancock Disciplined and Transamerica Large 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 Transamerica Large 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 Transamerica Large Cap, you can compare the effects of market volatilities on Jhancock Disciplined and Transamerica Large 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 Transamerica Large. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jhancock Disciplined and Transamerica Large.

Diversification Opportunities for Jhancock Disciplined and Transamerica Large

0.94

Correlation Coefficient

Jhancock Disciplined  Transamerica Large

Almost no diversification

The 3 months correlation between Jhancock and Transamerica is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Disciplined Value and Transamerica Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Transamerica Large Cap 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 Transamerica Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Transamerica Large Cap has no effect on the direction of Jhancock Disciplined i.e., Jhancock Disciplined and Transamerica Large go up and down completely randomly.

Pair Corralation between Jhancock Disciplined and Transamerica Large

Assuming the 90 days horizon Jhancock Disciplined Value is expected to generate 1.27 times more return on investment than Transamerica Large. However, Jhancock Disciplined is 1.27 times more volatile than Transamerica Large Cap. It trades about 0.17 of its potential returns per unit of risk. Transamerica Large Cap is currently generating about 0.17 per unit of risk. If you would invest  2,530  in Jhancock Disciplined Value on September 1, 2024 and sell it today you would earn a total of  229.00  from holding Jhancock Disciplined Value or generate 9.05% 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.  Transamerica Large Cap

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 December 2024.

Transamerica Large Cap

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Transamerica Large Cap are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Transamerica Large may actually be approaching a critical reversion point that can send shares even higher in December 2024.

Pair Trading with Jhancock Disciplined and Transamerica Large

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

The idea behind Jhancock Disciplined Value and Transamerica Large Cap 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.

Check out your portfolio center.

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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.