Correlation Between Xtrackers MSCI and JPMorgan Fundamental

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

By analyzing existing cross correlation between Xtrackers MSCI Kokusai and JPMorgan Fundamental Data, you can compare the effects of market volatilities on Xtrackers MSCI and JPMorgan Fundamental 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 Xtrackers MSCI with a short position of JPMorgan Fundamental. Check out your portfolio center. Please also check ongoing floating volatility patterns of Xtrackers MSCI and JPMorgan Fundamental.

Diversification Opportunities for Xtrackers MSCI and JPMorgan Fundamental

0.82

Correlation Coefficient

Xtrackers MSCI  JPMorgan Fundamental

Very poor diversification

The 3 months correlation between Xtrackers and JPMorgan is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Xtrackers MSCI Kokusai and JPMorgan Fundamental Data in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Fundamental Data and Xtrackers MSCI 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 Xtrackers MSCI Kokusai are associated (or correlated) with JPMorgan Fundamental. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Fundamental Data has no effect on the direction of Xtrackers MSCI i.e., Xtrackers MSCI and JPMorgan Fundamental go up and down completely randomly.

Pair Corralation between Xtrackers MSCI and JPMorgan Fundamental

Given the investment horizon of 90 days Xtrackers MSCI Kokusai is expected to generate 0.93 times more return on investment than JPMorgan Fundamental. However, Xtrackers MSCI Kokusai is 1.07 times less risky than JPMorgan Fundamental. It trades about -0.03 of its potential returns per unit of risk. JPMorgan Fundamental Data is currently generating about -0.09 per unit of risk. If you would invest  10,057  in Xtrackers MSCI Kokusai on December 29, 2024 and sell it today you would lose (203.00) from holding Xtrackers MSCI Kokusai or give up 2.02% of portfolio value over 90 days.

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

Xtrackers MSCI Kokusai  vs.  JPMorgan Fundamental Data

Xtrackers MSCI Kokusai

Risk-Adjusted Performance

Very Weak

Over the last 90 days Xtrackers MSCI Kokusai has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable forward-looking signals, Xtrackers MSCI is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

JPMorgan Fundamental Data

Risk-Adjusted Performance

Very Weak

Over the last 90 days JPMorgan Fundamental Data has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable fundamental indicators, JPMorgan Fundamental is not utilizing all of its potentials. The recent stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Xtrackers MSCI and JPMorgan Fundamental

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

The idea behind Xtrackers MSCI Kokusai and JPMorgan Fundamental Data 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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.