Correlation Between Jhancock Diversified and Western Asset
Can any of the company-specific risk be diversified away by investing in both Jhancock Diversified 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 Jhancock Diversified and Western Asset into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Jhancock Diversified Macro and Western Asset Diversified, you can compare the effects of market volatilities on Jhancock Diversified 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 Jhancock Diversified with a short position of Western Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jhancock Diversified and Western Asset.
Diversification Opportunities for Jhancock Diversified and Western Asset
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Jhancock and Western is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Diversified Macro and Western Asset Diversified in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Western Asset Diversified and Jhancock Diversified 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 Jhancock Diversified Macro 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 Diversified has no effect on the direction of Jhancock Diversified i.e., Jhancock Diversified and Western Asset go up and down completely randomly.
Pair Corralation between Jhancock Diversified and Western Asset
Assuming the 90 days horizon Jhancock Diversified Macro is expected to generate 2.11 times more return on investment than Western Asset. However, Jhancock Diversified is 2.11 times more volatile than Western Asset Diversified. It trades about -0.09 of its potential returns per unit of risk. Western Asset Diversified is currently generating about -0.21 per unit of risk. If you would invest 909.00 in Jhancock Diversified Macro on August 29, 2024 and sell it today you would lose (19.00) from holding Jhancock Diversified Macro or give up 2.09% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.35% |
| Values | Daily Returns |
Jhancock Diversified Macro vs. Western Asset Diversified
Performance |
| Timeline |
| Jhancock Diversified |
| Western Asset Diversified |
Jhancock Diversified and Western Asset Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Jhancock Diversified and Western Asset
The main advantage of trading using opposite Jhancock Diversified and Western Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Jhancock Diversified 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.| Jhancock Diversified vs. Pace High Yield | Jhancock Diversified vs. Lgm Risk Managed | Jhancock Diversified vs. Multimanager Lifestyle Aggressive | Jhancock Diversified vs. Artisan High Income |
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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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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