JPMorgan Momentum Correlations

JMOM Etf

USD 58.35 0.03 0.05%

The current 90-days correlation between JPMorgan Momentum Factor and JPMorgan Quality Factor is 0.91 (i.e., Almost no diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as JPMorgan Momentum moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if JPMorgan Momentum Factor moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

JPMorgan Momentum Correlation With Market

Poor diversification

The correlation between JPMorgan Momentum Factor and DJI is 0.72 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Momentum Factor and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in JPMorgan Momentum Factor. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in persons.

Moving together with JPMorgan Etf

0.96	VTI	Vanguard Total Stock	Pair Corr
0.96	SPY	SPDR SP 500 Aggressive Push	Pair Corr
0.96	IVV	iShares Core SP	Pair Corr
0.88	VIG	Vanguard Dividend	Pair Corr
0.97	VV	Vanguard Large Cap	Pair Corr
0.93	RSP	Invesco SP 500	Pair Corr
0.97	IWB	iShares Russell 1000	Pair Corr
0.95	ESGU	iShares ESG Aware	Pair Corr
0.97	DFAC	Dimensional Core Equity	Pair Corr
0.88	SPLG	SPDR Portfolio SP	Pair Corr
0.93	UPRO	ProShares UltraPro SP500	Pair Corr
0.95	QTJA	Innovator ETFs Trust Low Volatility	Pair Corr
0.95	QTOC	Innovator ETFs Trust Low Volatility	Pair Corr
0.97	XTOC	Innovator ETFs Trust	Pair Corr
0.82	QTAP	Innovator Growth 100 Low Volatility	Pair Corr
0.96	XTJA	Innovator ETFs Trust	Pair Corr
0.65	XTAP	Innovator Equity Acc	Pair Corr
0.87	JPM	JPMorgan Chase	Pair Corr
0.87	HD	Home Depot	Pair Corr
0.89	AXP	American Express	Pair Corr
0.7	DIS	Walt Disney	Pair Corr
0.9	BAC	Bank of America Aggressive Push	Pair Corr

Moving against JPMorgan Etf

0.48	VZ	Verizon Communications Sell-off Trend	Pair Corr
0.38	MRK	Merck Company	Pair Corr
0.34	JNJ	Johnson Johnson	Pair Corr
0.32	KO	Coca Cola Sell-off Trend	Pair Corr

Related Correlations Analysis

	JQUA	JVAL	JPSE	JPUS	SPMO
JQUA		0.85	0.58	0.91	0.96	JQUA
JVAL	0.85		0.85	0.79	0.83	JVAL
JPSE	0.58	0.85		0.52	0.6	JPSE
JPUS	0.91	0.79	0.52		0.86	JPUS
SPMO	0.96	0.83	0.6	0.86		SPMO
	JQUA	JVAL	JPSE	JPUS	SPMO

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JPMorgan Momentum Constituents Risk-Adjusted Indicators

There is a big difference between JPMorgan Etf performing well and JPMorgan Momentum ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze JPMorgan Momentum's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
JQUA	0.68	(0.02)	(0.06)	1.18	(1.57)	3.09
JVAL	0.77	(0.11)	0.60	1.24	(1.86)	3.46
JPSE	0.80	(0.19)	1.18	1.41	(1.92)	4.40
JPUS	0.65	(0.01)	(0.04)	1.11	(1.12)	2.65
SPMO	1.00	0.01	(0.03)	1.84	(2.57)	4.95

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