JPMorgan Chase Correlations

JPM Stock

USD 241.63 2.62 1.10%

The current 90-days correlation between JPMorgan Chase and Wells Fargo is 0.19 (i.e., Average diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as JPMorgan Chase moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if JPMorgan Chase Co moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

JPMorgan Chase Correlation With Market

Poor diversification

The correlation between JPMorgan Chase Co and DJI is 0.65 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Chase Co 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 Chase Co. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in american community survey.

Moving together with JPMorgan Stock

0.97	C	Citigroup Aggressive Push	Pair Corr
0.65	BML-PH	Bank of America	Pair Corr
0.66	EWBC	East West Bancorp	Pair Corr
0.75	BAC	Bank of America Sell-off Trend	Pair Corr
0.72	BMO	Bank of Montreal	Pair Corr
0.69	UBS	UBS Group AG	Pair Corr
0.95	WFC	Wells Fargo Aggressive Push	Pair Corr
0.66	BAC-PE	Bank of America	Pair Corr

Moving against JPMorgan Stock

0.5	CB	Chubb	Pair Corr
0.32	DHIL	Diamond Hill Investment	Pair Corr

Related Correlations Analysis

	C	WFC	TD	NU	BAC	HSBC	RY	CM	BMO	BNS
C		0.93	0.53	0.77	0.76	0.09	0.48	0.33	0.74	0.09	C
WFC	0.93		0.6	0.74	0.64	0.23	0.37	0.2	0.76	-0.03	WFC
TD	0.53	0.6		0.46	-0.07	0.86	-0.39	-0.58	0.71	-0.73	TD
NU	0.77	0.74	0.46		0.61	0.07	0.33	0.2	0.44	0.03	NU
BAC	0.76	0.64	-0.07	0.61		-0.48	0.81	0.77	0.33	0.6	BAC
HSBC	0.09	0.23	0.86	0.07	-0.48		-0.66	-0.82	0.52	-0.86	HSBC
RY	0.48	0.37	-0.39	0.33	0.81	-0.66		0.94	0.17	0.86	RY
CM	0.33	0.2	-0.58	0.2	0.77	-0.82	0.94		-0.03	0.95	CM
BMO	0.74	0.76	0.71	0.44	0.33	0.52	0.17	-0.03		-0.2	BMO
BNS	0.09	-0.03	-0.73	0.03	0.6	-0.86	0.86	0.95	-0.2		BNS
	C	WFC	TD	NU	BAC	HSBC	RY	CM	BMO	BNS

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

BNS	+ 0.95	CM
CM	+ 0.94	RY
WFC	+ 0.93	C
HSBC	+ 0.86	TD
BNS	+ 0.86	RY
RY	+ 0.81	BAC

High negative correlations

BNS	- 0.86	HSBC
CM	- 0.82	HSBC
BNS	- 0.73	TD
RY	- 0.66	HSBC
CM	- 0.58	TD
HSBC	- 0.48	BAC

Risk-Adjusted Indicators

There is a big difference between JPMorgan Stock performing well and JPMorgan Chase Company 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 Chase'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
C	1.39	0.13	0.05	0.03	2.10	(1.29)	2.45	(3.48)	12.74
WFC	1.24	0.05	0.06	(2.23)	1.74	(1.38)	2.32	(2.25)	12.70
TD	0.73	0.22	0.30	0.33	0.57	(0.82)	1.39	(1.34)	5.80
NU	2.37	0.14	0.02	0.01	4.25	(2.56)	4.58	(4.60)	25.98
BAC	1.13	(0.03)	0.00	(0.09)	0.00	0.00	1.81	(2.37)	10.83
HSBC	0.94	0.36	0.25	0.44	1.08	(0.98)	2.59	(2.11)	7.68
RY	0.90	(0.06)	0.00	(0.14)	0.00	0.00	1.55	(2.67)	6.21
CM	0.89	(0.17)	0.00	(0.30)	0.00	0.00	1.37	(2.36)	6.74
BMO	0.75	0.02	0.00	(0.04)	0.00	0.00	1.74	(2.05)	6.84
BNS	0.70	(0.17)	0.00	(0.48)	0.00	0.00	1.44	(1.76)	5.17

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