Correlation Between Vanguard Small and John Hancock
Can any of the company-specific risk be diversified away by investing in both Vanguard Small 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 Vanguard Small and John Hancock into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Small Cap Value and John Hancock Multifactor, you can compare the effects of market volatilities on Vanguard Small 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 Vanguard Small with a short position of John Hancock. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Small and John Hancock.
Diversification Opportunities for Vanguard Small and John Hancock
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Vanguard and John is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small Cap Value and John Hancock Multifactor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on John Hancock Multifactor and Vanguard Small 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 Vanguard Small Cap Value 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 Multifactor has no effect on the direction of Vanguard Small i.e., Vanguard Small and John Hancock go up and down completely randomly.
Pair Corralation between Vanguard Small and John Hancock
Considering the 90-day investment horizon Vanguard Small Cap Value is expected to generate 0.95 times more return on investment than John Hancock. However, Vanguard Small Cap Value is 1.06 times less risky than John Hancock. It trades about 0.12 of its potential returns per unit of risk. John Hancock Multifactor is currently generating about 0.11 per unit of risk. If you would invest 18,491 in Vanguard Small Cap Value on September 1, 2024 and sell it today you would earn a total of 3,129 from holding Vanguard Small Cap Value or generate 16.92% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 99.21% |
| Values | Daily Returns |
Vanguard Small Cap Value vs. John Hancock Multifactor
Performance |
| Timeline |
| Vanguard Small Cap |
| John Hancock Multifactor |
Vanguard Small and John Hancock Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Small and John Hancock
The main advantage of trading using opposite Vanguard Small and John Hancock positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Small 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.| Vanguard Small vs. Vanguard Mid Cap Value | Vanguard Small vs. Vanguard Small Cap Growth | Vanguard Small vs. Vanguard Value Index | Vanguard Small vs. Vanguard Small Cap Index |
| John Hancock vs. John Hancock Multifactor | John Hancock vs. John Hancock Multifactor | John Hancock vs. John Hancock Multifactor | John Hancock vs. JPMorgan Diversified Return |
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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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