Correlation Between John Hancock and Tax-managed
Can any of the company-specific risk be diversified away by investing in both John Hancock and Tax-managed 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 John Hancock and Tax-managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between John Hancock Financial and Tax Managed Mid Small, you can compare the effects of market volatilities on John Hancock and Tax-managed 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 John Hancock with a short position of Tax-managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of John Hancock and Tax-managed.
Diversification Opportunities for John Hancock and Tax-managed
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between John and Tax-managed is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding John Hancock Financial and Tax Managed Mid Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tax Managed Mid and John Hancock 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 John Hancock Financial are associated (or correlated) with Tax-managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tax Managed Mid has no effect on the direction of John Hancock i.e., John Hancock and Tax-managed go up and down completely randomly.
Pair Corralation between John Hancock and Tax-managed
Considering the 90-day investment horizon John Hancock Financial is expected to generate 1.57 times more return on investment than Tax-managed. However, John Hancock is 1.57 times more volatile than Tax Managed Mid Small. It trades about -0.06 of its potential returns per unit of risk. Tax Managed Mid Small is currently generating about -0.13 per unit of risk. If you would invest 3,862 in John Hancock Financial on October 28, 2024 and sell it today you would lose (168.00) from holding John Hancock Financial or give up 4.35% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
John Hancock Financial vs. Tax Managed Mid Small
Performance |
| Timeline |
| John Hancock Financial |
| Tax Managed Mid |
John Hancock and Tax-managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with John Hancock and Tax-managed
The main advantage of trading using opposite John Hancock and Tax-managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if John Hancock position performs unexpectedly, Tax-managed 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 Tax-managed will offset losses from the drop in Tax-managed's long position.| John Hancock vs. Tekla Life Sciences | John Hancock vs. Tekla World Healthcare | John Hancock vs. Tekla Healthcare Opportunities | John Hancock vs. Royce Value Closed |
| Tax-managed vs. Transamerica Emerging Markets | Tax-managed vs. Angel Oak Multi Strategy | Tax-managed vs. Dws Emerging Markets | Tax-managed vs. Doubleline Emerging Markets |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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