JPMorgan Fundamental Correlations

SCDS Etf

52.14 0.39 0.74%

The current 90-days correlation between JPMorgan Fundamental Data and Dimensional ETF Trust is 0.65 (i.e., Poor diversification). The correlation of JPMorgan Fundamental is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

JPMorgan Fundamental Correlation With Market

Poor diversification

The correlation between JPMorgan Fundamental Data and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Fundamental Data and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in JPMorgan Fundamental Data. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in unemployment.

Moving together with JPMorgan Etf

0.99	VB	Vanguard Small Cap	Pair Corr
0.98	IJR	iShares Core SP	Pair Corr
0.98	IWM	iShares Russell 2000 Aggressive Push	Pair Corr
0.94	VRTIX	Vanguard Russell 2000	Pair Corr
0.98	VTWO	Vanguard Russell 2000	Pair Corr
0.99	FNDA	Schwab Fundamental Small	Pair Corr
0.98	SPSM	SPDR Portfolio SP	Pair Corr
0.99	DFAS	Dimensional Small Cap	Pair Corr
0.98	VIOO	Vanguard SP Small	Pair Corr
0.99	PRFZ	Invesco FTSE RAFI	Pair Corr
0.97	VTI	Vanguard Total Stock	Pair Corr
0.95	SPY	SPDR SP 500 Aggressive Push	Pair Corr
0.95	IVV	iShares Core SP	Pair Corr
0.94	VUG	Vanguard Growth Index	Pair Corr
0.94	VO	Vanguard Mid Cap	Pair Corr
0.67	JPM	JPMorgan Chase	Pair Corr
0.73	WMT	Walmart	Pair Corr
0.75	MSFT	Microsoft Aggressive Push	Pair Corr
0.7	BA	Boeing	Pair Corr
0.75	CAT	Caterpillar	Pair Corr
0.9	BAC	Bank of America Aggressive Push	Pair Corr
0.93	HD	Home Depot	Pair Corr
0.77	DIS	Walt Disney	Pair Corr

Moving against JPMorgan Etf

0.61	BND	Vanguard Total Bond	Pair Corr
0.43	VEA	Vanguard FTSE Developed	Pair Corr
0.39	GDXU	MicroSectors Gold Miners	Pair Corr
0.73	VZ	Verizon Communications Sell-off Trend	Pair Corr
0.69	TRV	The Travelers Companies	Pair Corr
0.6	JNJ	Johnson Johnson	Pair Corr
0.51	T	ATT Inc Aggressive Push	Pair Corr
0.45	PG	Procter Gamble	Pair Corr
0.36	XOM	Exxon Mobil Corp Earnings Call This Week	Pair Corr

Related Correlations Analysis

	DISV	VB	MMSC	VIOG	VIOV	VIOO	DWAS	VTWG	VTWV
DISV		-0.65	-0.78	-0.7	-0.76	-0.73	-0.75	-0.72	-0.67	DISV
VB	-0.65		0.94	0.99	0.98	0.99	0.96	0.98	0.99	VB
MMSC	-0.78	0.94		0.96	0.96	0.96	0.95	0.96	0.94	MMSC
VIOG	-0.7	0.99	0.96		0.98	1.0	0.98	0.99	0.99	VIOG
VIOV	-0.76	0.98	0.96	0.98		0.99	0.97	0.98	0.98	VIOV
VIOO	-0.73	0.99	0.96	1.0	0.99		0.98	0.99	0.99	VIOO
DWAS	-0.75	0.96	0.95	0.98	0.97	0.98		0.99	0.97	DWAS
VTWG	-0.72	0.98	0.96	0.99	0.98	0.99	0.99		0.98	VTWG
VTWV	-0.67	0.99	0.94	0.99	0.98	0.99	0.97	0.98		VTWV
	DISV	VB	MMSC	VIOG	VIOV	VIOO	DWAS	VTWG	VTWV

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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

VIOO	+ 1.0	VIOG
VIOG	+ 0.99	VB
VIOO	+ 0.99	VB
VTWV	+ 0.99	VB
VTWG	+ 0.99	VIOG
VTWV	+ 0.99	VIOG

High negative correlations

MMSC	- 0.78	DISV
VIOV	- 0.76	DISV
DWAS	- 0.75	DISV
VIOO	- 0.73	DISV
VTWG	- 0.72	DISV
VIOG	- 0.7	DISV

JPMorgan Fundamental Constituents Risk-Adjusted Indicators

There is a big difference between JPMorgan Etf performing well and JPMorgan Fundamental 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 Fundamental'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
DISV	0.64	0.16	0.17	0.29	0.64	(0.66)	1.54	(1.20)	5.30
VB	0.93	(0.13)	0.00	(0.12)	0.00	0.00	1.45	(2.41)	4.28
MMSC	1.22	(0.21)	0.00	1.93	0.00	0.00	2.06	(3.30)	5.91
VIOG	0.94	(0.16)	0.00	(0.14)	0.00	0.00	1.64	(2.28)	4.96
VIOV	0.93	(0.19)	0.00	(0.18)	0.00	0.00	1.55	(2.12)	4.22
VIOO	0.91	(0.18)	0.00	(0.15)	0.00	0.00	1.59	(2.17)	4.34
DWAS	1.48	(0.23)	0.00	(0.15)	0.00	0.00	3.04	(3.89)	8.13
VTWG	1.11	(0.17)	0.00	(0.14)	0.00	0.00	2.01	(2.72)	6.10
VTWV	0.91	(0.16)	0.00	(0.15)	0.00	0.00	1.57	(2.27)	4.43

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