Correlation Between JPMORGAN ETFS and Xtrackers

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Can any of the company-specific risk be diversified away by investing in both JPMORGAN ETFS and Xtrackers 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 ETFS and Xtrackers into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between JPMORGAN ETFS ICAV and Xtrackers SP 500, you can compare the effects of market volatilities on JPMORGAN ETFS and Xtrackers 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 ETFS with a short position of Xtrackers. Check out your portfolio center. Please also check ongoing floating volatility patterns of JPMORGAN ETFS and Xtrackers.

Diversification Opportunities for JPMORGAN ETFS and Xtrackers

0.91
  Correlation Coefficient

Almost no diversification

The 3 months correlation between JPMORGAN and Xtrackers is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding JPMORGAN ETFS ICAV and Xtrackers SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Xtrackers SP 500 and JPMORGAN ETFS 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 ETFS ICAV are associated (or correlated) with Xtrackers. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Xtrackers SP 500 has no effect on the direction of JPMORGAN ETFS i.e., JPMORGAN ETFS and Xtrackers go up and down completely randomly.

Pair Corralation between JPMORGAN ETFS and Xtrackers

Assuming the 90 days trading horizon JPMORGAN ETFS ICAV is expected to generate 0.95 times more return on investment than Xtrackers. However, JPMORGAN ETFS ICAV is 1.05 times less risky than Xtrackers. It trades about 0.2 of its potential returns per unit of risk. Xtrackers SP 500 is currently generating about 0.07 per unit of risk. If you would invest  229,825  in JPMORGAN ETFS ICAV on October 8, 2024 and sell it today you would earn a total of  19,375  from holding JPMORGAN ETFS ICAV or generate 8.43% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy98.39%
ValuesDaily Returns

JPMORGAN ETFS ICAV  vs.  Xtrackers SP 500

 Performance 
       Timeline  
JPMORGAN ETFS ICAV 

Risk-Adjusted Performance

15 of 100

 
Weak
 
Strong
Good
Compared to the overall equity markets, risk-adjusted returns on investments in JPMORGAN ETFS ICAV are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively unsteady basic indicators, JPMORGAN ETFS may actually be approaching a critical reversion point that can send shares even higher in February 2025.
Xtrackers SP 500 

Risk-Adjusted Performance

5 of 100

 
Weak
 
Strong
Modest
Compared to the overall equity markets, risk-adjusted returns on investments in Xtrackers SP 500 are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, Xtrackers is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

JPMORGAN ETFS and Xtrackers Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with JPMORGAN ETFS and Xtrackers

The main advantage of trading using opposite JPMORGAN ETFS and Xtrackers positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if JPMORGAN ETFS position performs unexpectedly, Xtrackers 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 Xtrackers will offset losses from the drop in Xtrackers' long position.
The idea behind JPMORGAN ETFS ICAV and Xtrackers SP 500 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 Money Managers module to screen money managers from public funds and ETFs managed around the world.

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