Correlation Between Jhancock Disciplined and Legg Mason
Can any of the company-specific risk be diversified away by investing in both Jhancock Disciplined 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 Disciplined 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 Disciplined Value and Legg Mason Bw, you can compare the effects of market volatilities on Jhancock Disciplined 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 Disciplined with a short position of Legg Mason. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jhancock Disciplined and Legg Mason.
Diversification Opportunities for Jhancock Disciplined and Legg Mason
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Jhancock and Legg is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Disciplined Value 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 Disciplined 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 Disciplined Value 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 Disciplined i.e., Jhancock Disciplined and Legg Mason go up and down completely randomly.
Pair Corralation between Jhancock Disciplined and Legg Mason
Assuming the 90 days horizon Jhancock Disciplined is expected to generate 1.23 times less return on investment than Legg Mason. In addition to that, Jhancock Disciplined is 1.1 times more volatile than Legg Mason Bw. It trades about 0.21 of its total potential returns per unit of risk. Legg Mason Bw is currently generating about 0.28 per unit of volatility. If you would invest 2,236 in Legg Mason Bw on August 31, 2024 and sell it today you would earn a total of 140.00 from holding Legg Mason Bw or generate 6.26% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Jhancock Disciplined Value vs. Legg Mason Bw
Performance |
| Timeline |
| Jhancock Disciplined |
| Legg Mason Bw |
Jhancock Disciplined and Legg Mason Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Jhancock Disciplined and Legg Mason
The main advantage of trading using opposite Jhancock Disciplined and Legg Mason positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Jhancock Disciplined 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 Disciplined vs. Oakmark International Fund | Jhancock Disciplined vs. Intrepid Endurance Fund | Jhancock Disciplined vs. HUMANA INC | Jhancock Disciplined vs. Aquagold International |
| Legg Mason vs. Vanguard Value Index | Legg Mason vs. Dodge Cox Stock | Legg Mason vs. American Mutual Fund | 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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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