Correlation Between Janus Forty and Large Cap
Can any of the company-specific risk be diversified away by investing in both Janus Forty and Large Cap 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 Janus Forty and Large Cap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Janus Forty Fund and Large Cap E, you can compare the effects of market volatilities on Janus Forty and Large Cap 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 Janus Forty with a short position of Large Cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Janus Forty and Large Cap.
Diversification Opportunities for Janus Forty and Large Cap
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Janus and Large is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding Janus Forty Fund and Large Cap E in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Large Cap E and Janus Forty 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 Janus Forty Fund are associated (or correlated) with Large Cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Large Cap E has no effect on the direction of Janus Forty i.e., Janus Forty and Large Cap go up and down completely randomly.
Pair Corralation between Janus Forty and Large Cap
Assuming the 90 days horizon Janus Forty Fund is expected to generate 1.34 times more return on investment than Large Cap. However, Janus Forty is 1.34 times more volatile than Large Cap E. It trades about 0.08 of its potential returns per unit of risk. Large Cap E is currently generating about 0.1 per unit of risk. If you would invest 4,513 in Janus Forty Fund on September 3, 2024 and sell it today you would earn a total of 1,322 from holding Janus Forty Fund or generate 29.29% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Janus Forty Fund vs. Large Cap E
Performance |
| Timeline |
| Janus Forty Fund |
| Large Cap E |
Janus Forty and Large Cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Janus Forty and Large Cap
The main advantage of trading using opposite Janus Forty and Large Cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Janus Forty position performs unexpectedly, Large Cap 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 Large Cap will offset losses from the drop in Large Cap's long position.| Janus Forty vs. Janus Forty Fund | Janus Forty vs. Janus Research Fund | Janus Forty vs. Brown Advisory Sustainable | Janus Forty vs. Janus Venture Fund |
| Large Cap vs. Commonwealth Global Fund | Large Cap vs. Artisan Thematic Fund | Large Cap vs. Eic Value Fund | Large Cap vs. Nasdaq 100 Fund Class |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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