Correlation Between Vanguard Russell and John Hancock

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Can any of the company-specific risk be diversified away by investing in both Vanguard Russell 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 Russell 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 Russell 2000 and John Hancock Multifactor, you can compare the effects of market volatilities on Vanguard Russell 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 Russell with a short position of John Hancock. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Russell and John Hancock.

Diversification Opportunities for Vanguard Russell and John Hancock

VanguardJohnDiversified AwayVanguardJohnDiversified Away100%
0.96
  Correlation Coefficient

Almost no diversification

The 3 months correlation between Vanguard and John is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Russell 2000 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 Russell 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 Russell 2000 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 Russell i.e., Vanguard Russell and John Hancock go up and down completely randomly.

Pair Corralation between Vanguard Russell and John Hancock

Given the investment horizon of 90 days Vanguard Russell 2000 is expected to under-perform the John Hancock. In addition to that, Vanguard Russell is 1.13 times more volatile than John Hancock Multifactor. It trades about -0.23 of its total potential returns per unit of risk. John Hancock Multifactor is currently generating about -0.25 per unit of volatility. If you would invest  4,166  in John Hancock Multifactor on November 25, 2024 and sell it today you would lose (193.00) from holding John Hancock Multifactor or give up 4.63% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Vanguard Russell 2000  vs.  John Hancock Multifactor

 Performance 
JavaScript chart by amCharts 3.21.15Dec2025Feb -6-4-2024
JavaScript chart by amCharts 3.21.15VTWO JHSC
       Timeline  
Vanguard Russell 2000 

Risk-Adjusted Performance

Very Weak

 
Weak
 
Strong
Over the last 90 days Vanguard Russell 2000 has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest fragile performance, the Etf's basic indicators remain healthy and the recent disarray on Wall Street may also be a sign of long period gains for the ETF investors.
JavaScript chart by amCharts 3.21.15DecJanFebJanFeb889092949698
John Hancock Multifactor 

Risk-Adjusted Performance

Very Weak

 
Weak
 
Strong
Over the last 90 days John Hancock Multifactor has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest conflicting performance, the Etf's basic indicators remain sound and the latest tumult on Wall Street may also be a sign of longer-term gains for the fund shareholders.
JavaScript chart by amCharts 3.21.15DecJanFebJanFeb394041424344

Vanguard Russell and John Hancock Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-1.87-1.42-0.97-0.52-0.080.290.741.191.642.09 0.10.20.30.4
JavaScript chart by amCharts 3.21.15VTWO JHSC
       Returns  

Pair Trading with Vanguard Russell and John Hancock

The main advantage of trading using opposite Vanguard Russell and John Hancock positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Russell 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.
The idea behind Vanguard Russell 2000 and John Hancock Multifactor pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.

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