JPMorgan Diversified Correlations

JPIN Etf

USD 57.93 0.40 0.69%

The current 90-days correlation between JPMorgan Diversified and JPMorgan Diversified Return is 0.8 (i.e., Very poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as JPMorgan Diversified moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if JPMorgan Diversified Return moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

JPMorgan Diversified Correlation With Market

Very weak diversification

The correlation between JPMorgan Diversified Return and DJI is 0.55 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Diversified Return 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 Diversified Return. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product.

Moving together with JPMorgan Etf

0.98	EFV	iShares MSCI EAFE	Pair Corr
1.0	FNDF	Schwab Fundamental	Pair Corr
1.0	VYMI	Vanguard International	Pair Corr
0.98	IDV	iShares International	Pair Corr
0.99	DFIV	Dimensional International	Pair Corr
0.99	IVLU	iShares Edge MSCI	Pair Corr
1.0	RODM	Hartford Multifactor	Pair Corr
1.0	PXF	Invesco FTSE RAFI	Pair Corr
0.99	HDEF	Xtrackers MSCI EAFE	Pair Corr
0.92	PID	Invesco International	Pair Corr
0.94	BABX	GraniteShares 175x Long	Pair Corr
0.92	GDXU	MicroSectors Gold Miners	Pair Corr
0.96	XPP	ProShares Ultra FTSE	Pair Corr
0.92	JNUG	Direxion Daily Junior	Pair Corr
0.82	TRV	The Travelers Companies	Pair Corr
0.78	MMM	3M Company	Pair Corr
0.79	IBM	International Business	Pair Corr
0.66	INTC	Intel	Pair Corr
0.7	CVX	Chevron Corp	Pair Corr
0.63	CSCO	Cisco Systems Aggressive Push	Pair Corr
0.89	KO	Coca Cola Aggressive Push	Pair Corr
0.69	XOM	Exxon Mobil Corp Earnings Call This Week	Pair Corr

Moving against JPMorgan Etf

0.47	BAC	Bank of America Aggressive Push	Pair Corr
0.42	WTID	UBS ETRACS	Pair Corr
0.7	AA	Alcoa Corp	Pair Corr
0.62	CAT	Caterpillar	Pair Corr
0.61	HPQ	HP Inc	Pair Corr
0.6	DIS	Walt Disney	Pair Corr
0.59	MRK	Merck Company	Pair Corr
0.56	AXP	American Express	Pair Corr

Related Correlations Analysis

	JPEM	JPUS	WDIV	GSIE	JHMM
JPEM		0.24	0.68	0.75	-0.13	JPEM
JPUS	0.24		-0.13	0.16	0.8	JPUS
WDIV	0.68	-0.13		0.9	-0.67	WDIV
GSIE	0.75	0.16	0.9		-0.41	GSIE
JHMM	-0.13	0.8	-0.67	-0.41		JHMM
	JPEM	JPUS	WDIV	GSIE	JHMM

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

GSIE	+ 0.9	WDIV
JHMM	+ 0.8	JPUS
GSIE	+ 0.75	JPEM
WDIV	+ 0.68	JPEM
JPUS	+ 0.24	JPEM
GSIE	+ 0.16	JPUS

High negative correlations

JHMM	- 0.67	WDIV
JHMM	- 0.41	GSIE
WDIV	- 0.13	JPUS
JHMM	- 0.13	JPEM

JPMorgan Diversified Constituents Risk-Adjusted Indicators

There is a big difference between JPMorgan Etf performing well and JPMorgan Diversified 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 Diversified'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	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
JPEM	0.50	0.00	(0.01)	(0.01)	0.71	(0.49)	1.02	(1.08)	3.73
JPUS	0.65	(0.03)	0.00	(0.04)	0.00	0.00	1.11	(1.12)	2.65
WDIV	0.50	0.05	0.07	0.15	0.65	(0.52)	1.11	(0.78)	2.57
GSIE	0.64	0.11	0.11	0.18	0.73	(0.68)	1.33	(1.06)	4.71
JHMM	0.82	(0.09)	0.00	(0.08)	0.00	0.00	1.46	(1.72)	3.73

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC