Correlation Between John Hancock and Western Asset
Can any of the company-specific risk be diversified away by investing in both John Hancock and Western Asset 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 Western Asset into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between John Hancock Funds and Western Asset Mortgage, you can compare the effects of market volatilities on John Hancock and Western Asset 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 Western Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of John Hancock and Western Asset.
Diversification Opportunities for John Hancock and Western Asset
0.19 | Correlation Coefficient |
Average diversification
The 3 months correlation between John and Western is 0.19. Overlapping area represents the amount of risk that can be diversified away by holding John Hancock Funds and Western Asset Mortgage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Western Asset Mortgage 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 Funds are associated (or correlated) with Western Asset. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Western Asset Mortgage has no effect on the direction of John Hancock i.e., John Hancock and Western Asset go up and down completely randomly.
Pair Corralation between John Hancock and Western Asset
Assuming the 90 days horizon John Hancock Funds is expected to generate 0.99 times more return on investment than Western Asset. However, John Hancock Funds is 1.01 times less risky than Western Asset. It trades about 0.11 of its potential returns per unit of risk. Western Asset Mortgage is currently generating about 0.05 per unit of risk. If you would invest 1,014 in John Hancock Funds on September 12, 2024 and sell it today you would earn a total of 106.00 from holding John Hancock Funds or generate 10.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 99.6% |
| Values | Daily Returns |
John Hancock Funds vs. Western Asset Mortgage
Performance |
| Timeline |
| John Hancock Funds |
| Western Asset Mortgage |
John Hancock and Western Asset Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with John Hancock and Western Asset
The main advantage of trading using opposite John Hancock and Western Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if John Hancock position performs unexpectedly, Western Asset 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 Western Asset will offset losses from the drop in Western Asset's long position.| John Hancock vs. Champlain Small | John Hancock vs. Guidemark Smallmid Cap | John Hancock vs. Kinetics Small Cap | John Hancock vs. Mutual Of America |
| Western Asset vs. Metropolitan West Total | Western Asset vs. SCOR PK | Western Asset vs. Morningstar Unconstrained Allocation | Western Asset vs. Thrivent High Yield |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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