Correlation Between John Hancock and Invesco SP
Can any of the company-specific risk be diversified away by investing in both John Hancock and Invesco SP 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 Invesco SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between John Hancock Multifactor and Invesco SP MidCap, you can compare the effects of market volatilities on John Hancock and Invesco SP 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 Invesco SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of John Hancock and Invesco SP.
Diversification Opportunities for John Hancock and Invesco SP
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between John and Invesco is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding John Hancock Multifactor and Invesco SP MidCap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco SP MidCap 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 Multifactor are associated (or correlated) with Invesco SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco SP MidCap has no effect on the direction of John Hancock i.e., John Hancock and Invesco SP go up and down completely randomly.
Pair Corralation between John Hancock and Invesco SP
Given the investment horizon of 90 days John Hancock Multifactor is expected to generate 0.76 times more return on investment than Invesco SP. However, John Hancock Multifactor is 1.32 times less risky than Invesco SP. It trades about 0.13 of its potential returns per unit of risk. Invesco SP MidCap is currently generating about 0.09 per unit of risk. If you would invest 4,846 in John Hancock Multifactor on August 26, 2024 and sell it today you would earn a total of 1,559 from holding John Hancock Multifactor or generate 32.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
John Hancock Multifactor vs. Invesco SP MidCap
Performance |
| Timeline |
| John Hancock Multifactor |
| Invesco SP MidCap |
John Hancock and Invesco SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with John Hancock and Invesco SP
The main advantage of trading using opposite John Hancock and Invesco SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if John Hancock position performs unexpectedly, Invesco SP 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 Invesco SP will offset losses from the drop in Invesco SP's long position.| John Hancock vs. John Hancock Multifactor | John Hancock vs. JPMorgan Diversified Return | John Hancock vs. JPMorgan Diversified Return | John Hancock vs. JPMorgan Diversified Return |
| Invesco SP vs. Vanguard Mid Cap Index | Invesco SP vs. Vanguard Extended Market | Invesco SP vs. iShares Core SP | Invesco SP vs. SPDR SP MIDCAP |
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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
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