Correlation Between Tax-managed and John Hancock
Can any of the company-specific risk be diversified away by investing in both Tax-managed and John Hancock 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 Tax-managed and John Hancock into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Tax Managed Large Cap and John Hancock Investment, you can compare the effects of market volatilities on Tax-managed and John Hancock 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 Tax-managed with a short position of John Hancock. Check out your portfolio center. Please also check ongoing floating volatility patterns of Tax-managed and John Hancock.
Diversification Opportunities for Tax-managed and John Hancock
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Tax-managed and John is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Tax Managed Large Cap and John Hancock Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on John Hancock Investment and Tax-managed 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 Tax Managed Large Cap are associated (or correlated) with John Hancock. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of John Hancock Investment has no effect on the direction of Tax-managed i.e., Tax-managed and John Hancock go up and down completely randomly.
Pair Corralation between Tax-managed and John Hancock
Assuming the 90 days horizon Tax-managed is expected to generate 1.02 times less return on investment than John Hancock. But when comparing it to its historical volatility, Tax Managed Large Cap is 1.06 times less risky than John Hancock. It trades about 0.12 of its potential returns per unit of risk. John Hancock Investment is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 7,302 in John Hancock Investment on September 2, 2024 and sell it today you would earn a total of 950.00 from holding John Hancock Investment or generate 13.01% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Tax Managed Large Cap vs. John Hancock Investment
Performance |
| Timeline |
| Tax Managed Large |
| John Hancock Investment |
Tax-managed and John Hancock Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Tax-managed and John Hancock
The main advantage of trading using opposite Tax-managed and John Hancock positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Tax-managed position performs unexpectedly, John Hancock 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 John Hancock will offset losses from the drop in John Hancock's long position.| Tax-managed vs. Valic Company I | Tax-managed vs. Blackrock High Yield | Tax-managed vs. Western Asset High | Tax-managed vs. Virtus High Yield |
| John Hancock vs. Vanguard Total Stock | John Hancock vs. Vanguard 500 Index | John Hancock vs. Vanguard Total Stock | John Hancock vs. Vanguard Total Stock |
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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
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