Correlation Between Jhancock Disciplined and Smead Value

Can any of the company-specific risk be diversified away by investing in both Jhancock Disciplined and Smead Value 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 Jhancock Disciplined and Smead Value into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Jhancock Disciplined Value and Smead Value Fund, you can compare the effects of market volatilities on Jhancock Disciplined and Smead Value 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 Jhancock Disciplined with a short position of Smead Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jhancock Disciplined and Smead Value.

Diversification Opportunities for Jhancock Disciplined and Smead Value

0.97

Correlation Coefficient

Jhancock Disciplined  Smead Value

Almost no diversification

The 3 months correlation between Jhancock and Smead is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Jhancock Disciplined Value and Smead Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Smead Value Fund and Jhancock Disciplined 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 Jhancock Disciplined Value are associated (or correlated) with Smead Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Smead Value Fund has no effect on the direction of Jhancock Disciplined i.e., Jhancock Disciplined and Smead Value go up and down completely randomly.

Pair Corralation between Jhancock Disciplined and Smead Value

Assuming the 90 days horizon Jhancock Disciplined is expected to generate 1.16 times less return on investment than Smead Value. But when comparing it to its historical volatility, Jhancock Disciplined Value is 1.2 times less risky than Smead Value. It trades about 0.05 of its potential returns per unit of risk. Smead Value Fund is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  6,340  in Smead Value Fund on February 10, 2024 and sell it today you would earn a total of  1,909  from holding Smead Value Fund or generate 30.11% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

Jhancock Disciplined Value  vs.  Smead Value Fund

Jhancock Disciplined

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Jhancock Disciplined Value are ranked lower than 12 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly unsteady basic indicators, Jhancock Disciplined may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Smead Value Fund

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Smead Value Fund are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly unsteady essential indicators, Smead Value may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Pair Trading with Jhancock Disciplined and Smead Value

The main advantage of trading using opposite Jhancock Disciplined and Smead Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Jhancock Disciplined position performs unexpectedly, Smead Value 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 Smead Value will offset losses from the drop in Smead Value's long position.

The idea behind Jhancock Disciplined Value and Smead Value Fund 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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.