Correlation Between Jpmorgan Value and Siit Extended

Can any of the company-specific risk be diversified away by investing in both Jpmorgan Value and Siit Extended 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 Siit Extended 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 Siit Extended Market, you can compare the effects of market volatilities on Jpmorgan Value and Siit Extended 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 Siit Extended. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jpmorgan Value and Siit Extended.

Diversification Opportunities for Jpmorgan Value and Siit Extended

0.86

Correlation Coefficient

Jpmorgan Value  Siit Extended

Very poor diversification

The 3 months correlation between Jpmorgan and Siit is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Jpmorgan Value Advantage and Siit Extended Market in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siit Extended Market 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 Siit Extended. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siit Extended Market has no effect on the direction of Jpmorgan Value i.e., Jpmorgan Value and Siit Extended go up and down completely randomly.

Pair Corralation between Jpmorgan Value and Siit Extended

Assuming the 90 days horizon Jpmorgan Value is expected to generate 1.58 times less return on investment than Siit Extended. But when comparing it to its historical volatility, Jpmorgan Value Advantage is 1.54 times less risky than Siit Extended. It trades about 0.04 of its potential returns per unit of risk. Siit Extended Market is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  1,522  in Siit Extended Market on October 22, 2024 and sell it today you would earn a total of  311.00  from holding Siit Extended Market or generate 20.43% return on investment over 90 days.

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

Jpmorgan Value Advantage  vs.  Siit Extended Market

Jpmorgan Value Advantage

Risk-Adjusted Performance

0 of 100

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 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.

Siit Extended Market

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Siit Extended Market has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Siit Extended is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Jpmorgan Value and Siit Extended

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

The idea behind Jpmorgan Value Advantage and Siit Extended Market 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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.