Correlation Between JPMorgan Value and JPMorgan Quality

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

By analyzing existing cross correlation between JPMorgan Value Factor and JPMorgan Quality Factor, you can compare the effects of market volatilities on JPMorgan Value and JPMorgan Quality 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 JPMorgan Quality. Check out your portfolio center. Please also check ongoing floating volatility patterns of JPMorgan Value and JPMorgan Quality.

Diversification Opportunities for JPMorgan Value and JPMorgan Quality

0.99

Correlation Coefficient

JPMorgan Value  JPMorgan Quality

No risk reduction

The 3 months correlation between JPMorgan and JPMorgan is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Value Factor and JPMorgan Quality Factor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Quality Factor 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 Factor are associated (or correlated) with JPMorgan Quality. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Quality Factor has no effect on the direction of JPMorgan Value i.e., JPMorgan Value and JPMorgan Quality go up and down completely randomly.

Pair Corralation between JPMorgan Value and JPMorgan Quality

Given the investment horizon of 90 days JPMorgan Value is expected to generate 1.1 times less return on investment than JPMorgan Quality. In addition to that, JPMorgan Value is 1.2 times more volatile than JPMorgan Quality Factor. It trades about 0.16 of its total potential returns per unit of risk. JPMorgan Quality Factor is currently generating about 0.22 per unit of volatility. If you would invest  5,463  in JPMorgan Quality Factor on September 2, 2024 and sell it today you would earn a total of  509.00  from holding JPMorgan Quality Factor or generate 9.32% return on investment over 90 days.

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

JPMorgan Value Factor  vs.  JPMorgan Quality Factor

JPMorgan Value Factor

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan Value Factor are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. Despite quite weak basic indicators, JPMorgan Value may actually be approaching a critical reversion point that can send shares even higher in January 2025.

JPMorgan Quality Factor

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan Quality Factor are ranked lower than 17 (%) of all global equities and portfolios over the last 90 days. Despite somewhat conflicting basic indicators, JPMorgan Quality may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with JPMorgan Value and JPMorgan Quality

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

The idea behind JPMorgan Value Factor and JPMorgan Quality Factor 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.