Correlation Between Jhancock Diversified and Legg Mason
Can any of the company-specific risk be diversified away by investing in both Jhancock Diversified and Legg Mason 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 Legg Mason 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 Legg Mason Bw, you can compare the effects of market volatilities on Jhancock Diversified and Legg Mason 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 Legg Mason. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jhancock Diversified and Legg Mason.
Diversification Opportunities for Jhancock Diversified and Legg Mason
-0.27 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Jhancock and Legg is -0.27. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Diversified Macro and Legg Mason Bw in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Legg Mason Bw 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 Legg Mason. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Legg Mason Bw has no effect on the direction of Jhancock Diversified i.e., Jhancock Diversified and Legg Mason go up and down completely randomly.
Pair Corralation between Jhancock Diversified and Legg Mason
Assuming the 90 days horizon Jhancock Diversified Macro is expected to under-perform the Legg Mason. But the mutual fund apears to be less risky and, when comparing its historical volatility, Jhancock Diversified Macro is 1.64 times less risky than Legg Mason. The mutual fund trades about -0.03 of its potential returns per unit of risk. The Legg Mason Bw is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 2,206 in Legg Mason Bw on September 3, 2024 and sell it today you would earn a total of 168.00 from holding Legg Mason Bw or generate 7.62% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Jhancock Diversified Macro vs. Legg Mason Bw
Performance |
| Timeline |
| Jhancock Diversified |
| Legg Mason Bw |
Jhancock Diversified and Legg Mason Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Jhancock Diversified and Legg Mason
The main advantage of trading using opposite Jhancock Diversified and Legg Mason positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Jhancock Diversified position performs unexpectedly, Legg Mason 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 Legg Mason will offset losses from the drop in Legg Mason's long position.| Jhancock Diversified vs. Goldman Sachs Short | Jhancock Diversified vs. Angel Oak Ultrashort | Jhancock Diversified vs. Siit Ultra Short | Jhancock Diversified vs. Sterling Capital Short |
| Legg Mason vs. Vanguard Value Index | Legg Mason vs. Dodge Cox Stock | Legg Mason vs. American Funds American | Legg Mason vs. American Funds American |
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 Bonds Directory module to find actively traded corporate debentures issued by US companies.
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