Correlation Between Sprott Physical and JPMorgan Active

Can any of the company-specific risk be diversified away by investing in both Sprott Physical and JPMorgan Active 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 Sprott Physical and JPMorgan Active into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Sprott Physical Gold and JPMorgan Active Value, you can compare the effects of market volatilities on Sprott Physical and JPMorgan Active 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 Sprott Physical with a short position of JPMorgan Active. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sprott Physical and JPMorgan Active.

Diversification Opportunities for Sprott Physical and JPMorgan Active

-0.22

Correlation Coefficient

Sprott Physical  JPMorgan Active

Very good diversification

The 3 months correlation between Sprott and JPMorgan is -0.22. Overlapping area represents the amount of risk that can be diversified away by holding Sprott Physical Gold and JPMorgan Active Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Active Value and Sprott Physical 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 Sprott Physical Gold are associated (or correlated) with JPMorgan Active. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Active Value has no effect on the direction of Sprott Physical i.e., Sprott Physical and JPMorgan Active go up and down completely randomly.

Pair Corralation between Sprott Physical and JPMorgan Active

Considering the 90-day investment horizon Sprott Physical Gold is expected to generate 1.68 times more return on investment than JPMorgan Active. However, Sprott Physical is 1.68 times more volatile than JPMorgan Active Value. It trades about -0.12 of its potential returns per unit of risk. JPMorgan Active Value is currently generating about -0.28 per unit of risk. If you would invest  2,455  in Sprott Physical Gold on September 20, 2024 and sell it today you would lose (82.00) from holding Sprott Physical Gold or give up 3.34% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Sprott Physical Gold  vs.  JPMorgan Active Value

Sprott Physical Gold

Risk-Adjusted Performance

0 of 100

Weak

Over the last 90 days Sprott Physical Gold has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable technical and fundamental indicators, Sprott Physical is not utilizing all of its potentials. The latest stock price disturbance, may contribute to mid-run losses for the stockholders.

JPMorgan Active Value

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days JPMorgan Active Value has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, JPMorgan Active is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Sprott Physical and JPMorgan Active

The main advantage of trading using opposite Sprott Physical and JPMorgan Active positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sprott Physical position performs unexpectedly, JPMorgan Active 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 JPMorgan Active will offset losses from the drop in JPMorgan Active's long position.

The idea behind Sprott Physical Gold and JPMorgan Active Value pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.