Correlation Between John Hancock and Small Cap
Can any of the company-specific risk be diversified away by investing in both John Hancock and Small 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 John Hancock and Small Cap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between John Hancock Government and Small Cap Core, you can compare the effects of market volatilities on John Hancock and Small 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 John Hancock with a short position of Small Cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of John Hancock and Small Cap.
Diversification Opportunities for John Hancock and Small Cap
-0.63 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between John and Small is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding John Hancock Government and Small Cap Core in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Small Cap Core 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 Government are associated (or correlated) with Small Cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Small Cap Core has no effect on the direction of John Hancock i.e., John Hancock and Small Cap go up and down completely randomly.
Pair Corralation between John Hancock and Small Cap
Assuming the 90 days horizon John Hancock Government is expected to under-perform the Small Cap. But the mutual fund apears to be less risky and, when comparing its historical volatility, John Hancock Government is 4.85 times less risky than Small Cap. The mutual fund trades about -0.08 of its potential returns per unit of risk. The Small Cap Core is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 1,374 in Small Cap Core on August 24, 2024 and sell it today you would earn a total of 62.00 from holding Small Cap Core or generate 4.51% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
John Hancock Government vs. Small Cap Core
Performance |
| Timeline |
| John Hancock Government |
| Small Cap Core |
John Hancock and Small Cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with John Hancock and Small Cap
The main advantage of trading using opposite John Hancock and Small Cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if John Hancock position performs unexpectedly, Small 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 Small Cap will offset losses from the drop in Small Cap's long position.| John Hancock vs. Vanguard Gnma Fund | John Hancock vs. Vanguard Intermediate Term Government | John Hancock vs. Us Government Securities | John Hancock vs. Us Government Securities |
| Small Cap vs. Ab Government Exchange | Small Cap vs. Us Government Securities | Small Cap vs. John Hancock Government | Small Cap vs. Virtus Seix Government |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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