Correlation Between Absolute Convertible and John Hancock
Can any of the company-specific risk be diversified away by investing in both Absolute Convertible 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 Absolute Convertible and John Hancock into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Absolute Convertible Arbitrage and John Hancock Bond, you can compare the effects of market volatilities on Absolute Convertible 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 Absolute Convertible with a short position of John Hancock. Check out your portfolio center. Please also check ongoing floating volatility patterns of Absolute Convertible and John Hancock.
Diversification Opportunities for Absolute Convertible and John Hancock
-0.69 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Absolute and John is -0.69. Overlapping area represents the amount of risk that can be diversified away by holding Absolute Convertible Arbitrage and John Hancock Bond in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on John Hancock Bond and Absolute Convertible 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 Absolute Convertible Arbitrage 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 Bond has no effect on the direction of Absolute Convertible i.e., Absolute Convertible and John Hancock go up and down completely randomly.
Pair Corralation between Absolute Convertible and John Hancock
Assuming the 90 days horizon Absolute Convertible is expected to generate 1.65 times less return on investment than John Hancock. But when comparing it to its historical volatility, Absolute Convertible Arbitrage is 7.53 times less risky than John Hancock. It trades about 0.5 of its potential returns per unit of risk. John Hancock Bond is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 1,347 in John Hancock Bond on August 29, 2024 and sell it today you would earn a total of 12.00 from holding John Hancock Bond or generate 0.89% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
Absolute Convertible Arbitrage vs. John Hancock Bond
Performance |
| Timeline |
| Absolute Convertible |
| John Hancock Bond |
Absolute Convertible and John Hancock Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Absolute Convertible and John Hancock
The main advantage of trading using opposite Absolute Convertible and John Hancock positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Absolute Convertible 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.| Absolute Convertible vs. Calamos Market Neutral | Absolute Convertible vs. Calamos Market Neutral | Absolute Convertible vs. Calamos Market Neutral | Absolute Convertible vs. Calamos Market Neutral |
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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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
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