Correlation Between Calvert Large and Jhancock Disciplined
Can any of the company-specific risk be diversified away by investing in both Calvert Large and Jhancock Disciplined 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 Calvert Large and Jhancock Disciplined into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Calvert Large Cap and Jhancock Disciplined Value, you can compare the effects of market volatilities on Calvert Large and Jhancock Disciplined 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 Calvert Large with a short position of Jhancock Disciplined. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calvert Large and Jhancock Disciplined.
Diversification Opportunities for Calvert Large and Jhancock Disciplined
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Calvert and Jhancock is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Large Cap and Jhancock Disciplined Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jhancock Disciplined and Calvert Large 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 Calvert Large Cap are associated (or correlated) with Jhancock Disciplined. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jhancock Disciplined has no effect on the direction of Calvert Large i.e., Calvert Large and Jhancock Disciplined go up and down completely randomly.
Pair Corralation between Calvert Large and Jhancock Disciplined
Assuming the 90 days horizon Calvert Large is expected to generate 2.82 times less return on investment than Jhancock Disciplined. But when comparing it to its historical volatility, Calvert Large Cap is 7.52 times less risky than Jhancock Disciplined. It trades about 0.29 of its potential returns per unit of risk. Jhancock Disciplined Value is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 2,458 in Jhancock Disciplined Value on July 25, 2025 and sell it today you would earn a total of 113.00 from holding Jhancock Disciplined Value or generate 4.6% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Calvert Large Cap vs. Jhancock Disciplined Value
Performance |
| Timeline |
| Calvert Large Cap |
| Jhancock Disciplined |
Calvert Large and Jhancock Disciplined Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Calvert Large and Jhancock Disciplined
The main advantage of trading using opposite Calvert Large and Jhancock Disciplined positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calvert Large position performs unexpectedly, Jhancock Disciplined 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 Jhancock Disciplined will offset losses from the drop in Jhancock Disciplined's long position.| Calvert Large vs. Ab High Income | Calvert Large vs. Barings High Yield | Calvert Large vs. Morningstar Aggressive Growth | Calvert Large vs. Franklin California High |
| Jhancock Disciplined vs. Gmo High Yield | Jhancock Disciplined vs. Franklin California High | Jhancock Disciplined vs. Aqr Risk Parity | Jhancock Disciplined vs. Morningstar Aggressive Growth |
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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
Other Complementary Tools
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| Latest Portfolios Quick portfolio dashboard that showcases your latest portfolios | |
| Insider Screener Find insiders across different sectors to evaluate their impact on performance | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities |