Correlation Between JPMorgan Active and Vanguard Value

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

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

Diversification Opportunities for JPMorgan Active and Vanguard Value

0.94

Correlation Coefficient

JPMorgan Active  Vanguard Value

Almost no diversification

The 3 months correlation between JPMorgan and Vanguard is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Active Value and Vanguard Value Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Value Index and JPMorgan Active 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 JPMorgan Active Value are associated (or correlated) with Vanguard Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Value Index has no effect on the direction of JPMorgan Active i.e., JPMorgan Active and Vanguard Value go up and down completely randomly.

Pair Corralation between JPMorgan Active and Vanguard Value

Given the investment horizon of 90 days JPMorgan Active Value is expected to generate 1.09 times more return on investment than Vanguard Value. However, JPMorgan Active is 1.09 times more volatile than Vanguard Value Index. It trades about 0.11 of its potential returns per unit of risk. Vanguard Value Index is currently generating about 0.05 per unit of risk. If you would invest  6,289  in JPMorgan Active Value on September 15, 2024 and sell it today you would earn a total of  296.00  from holding JPMorgan Active Value or generate 4.71% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

JPMorgan Active Value  vs.  Vanguard Value Index

JPMorgan Active Value

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan Active Value are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, JPMorgan Active is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Vanguard Value Index

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Value Index are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. In spite of fairly stable basic indicators, Vanguard Value is not utilizing all of its potentials. The recent stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Pair Trading with JPMorgan Active and Vanguard Value

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

The idea behind JPMorgan Active Value and Vanguard Value Index 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.

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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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.