Correlation Between Jpmorgan Value and Undiscovered Managers

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

By analyzing existing cross correlation between Jpmorgan Value Advantage and Undiscovered Managers Behavioral, you can compare the effects of market volatilities on Jpmorgan Value and Undiscovered Managers 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 Value with a short position of Undiscovered Managers. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jpmorgan Value and Undiscovered Managers.

Diversification Opportunities for Jpmorgan Value and Undiscovered Managers

0.96

Correlation Coefficient

Jpmorgan Value  Undiscovered Managers

Almost no diversification

The 3 months correlation between Jpmorgan and Undiscovered is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Jpmorgan Value Advantage and Undiscovered Managers Behavior in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Undiscovered Managers and Jpmorgan Value 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 Value Advantage are associated (or correlated) with Undiscovered Managers. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Undiscovered Managers has no effect on the direction of Jpmorgan Value i.e., Jpmorgan Value and Undiscovered Managers go up and down completely randomly.

Pair Corralation between Jpmorgan Value and Undiscovered Managers

Assuming the 90 days horizon Jpmorgan Value Advantage is expected to under-perform the Undiscovered Managers. In addition to that, Jpmorgan Value is 1.26 times more volatile than Undiscovered Managers Behavioral. It trades about -0.16 of its total potential returns per unit of risk. Undiscovered Managers Behavioral is currently generating about -0.17 per unit of volatility. If you would invest  9,013  in Undiscovered Managers Behavioral on November 29, 2024 and sell it today you would lose (927.00) from holding Undiscovered Managers Behavioral or give up 10.29% of portfolio value over 90 days.

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

Jpmorgan Value Advantage  vs.  Undiscovered Managers Behavior

Jpmorgan Value Advantage

Risk-Adjusted Performance

Very Weak

Over the last 90 days Jpmorgan Value Advantage has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in March 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Undiscovered Managers

Risk-Adjusted Performance

Very Weak

Over the last 90 days Undiscovered Managers Behavioral has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Jpmorgan Value and Undiscovered Managers

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

The idea behind Jpmorgan Value Advantage and Undiscovered Managers Behavioral 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.