Correlation Between John Hancock and Royce Value
Can any of the company-specific risk be diversified away by investing in both John Hancock and Royce Value 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 Royce Value 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 Royce Value Closed, you can compare the effects of market volatilities on John Hancock and Royce Value 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 Royce Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of John Hancock and Royce Value.
Diversification Opportunities for John Hancock and Royce Value
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between John and Royce is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding John Hancock Financial and Royce Value Closed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Royce Value Closed 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 Royce Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Royce Value Closed has no effect on the direction of John Hancock i.e., John Hancock and Royce Value go up and down completely randomly.
Pair Corralation between John Hancock and Royce Value
Considering the 90-day investment horizon John Hancock Financial is expected to generate 1.26 times more return on investment than Royce Value. However, John Hancock is 1.26 times more volatile than Royce Value Closed. It trades about 0.07 of its potential returns per unit of risk. Royce Value Closed is currently generating about 0.07 per unit of risk. If you would invest 2,838 in John Hancock Financial on October 20, 2024 and sell it today you would earn a total of 830.00 from holding John Hancock Financial or generate 29.25% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
John Hancock Financial vs. Royce Value Closed
Performance |
| Timeline |
| John Hancock Financial |
| Royce Value Closed |
John Hancock and Royce Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with John Hancock and Royce Value
The main advantage of trading using opposite John Hancock and Royce Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if John Hancock position performs unexpectedly, Royce Value 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 Royce Value will offset losses from the drop in Royce Value'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 |
| Royce Value vs. Royce Global Value | Royce Value vs. Nuveen Municipal Credit | Royce Value vs. BlackRock Capital Allocation | Royce Value vs. DWS Municipal Income |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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