Correlation Between JPMorgan Momentum and JPMorgan International

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

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

Diversification Opportunities for JPMorgan Momentum and JPMorgan International

0.37

Correlation Coefficient

JPMorgan Momentum  JPMorgan International

Weak diversification

The 3 months correlation between JPMorgan and JPMorgan is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Momentum Factor and JPMorgan International Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan International and JPMorgan Momentum 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 Momentum Factor are associated (or correlated) with JPMorgan International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan International has no effect on the direction of JPMorgan Momentum i.e., JPMorgan Momentum and JPMorgan International go up and down completely randomly.

Pair Corralation between JPMorgan Momentum and JPMorgan International

Given the investment horizon of 90 days JPMorgan Momentum Factor is expected to under-perform the JPMorgan International. In addition to that, JPMorgan Momentum is 1.15 times more volatile than JPMorgan International Growth. It trades about -0.03 of its total potential returns per unit of risk. JPMorgan International Growth is currently generating about 0.09 per unit of volatility. If you would invest  6,285  in JPMorgan International Growth on December 20, 2024 and sell it today you would earn a total of  315.00  from holding JPMorgan International Growth or generate 5.01% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	98.33%
Values	Daily Returns

JPMorgan Momentum Factor  vs.  JPMorgan International Growth

JPMorgan Momentum Factor

Risk-Adjusted Performance

Very Weak

Over the last 90 days JPMorgan Momentum Factor has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy basic indicators, JPMorgan Momentum is not utilizing all of its potentials. The current stock price disarray, may contribute to short-term losses for the investors.

JPMorgan International

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan International Growth are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable forward indicators, JPMorgan International is not utilizing all of its potentials. The latest stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with JPMorgan Momentum and JPMorgan International

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

The idea behind JPMorgan Momentum Factor and JPMorgan International Growth 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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.