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
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Xtrackers and JPMorgan is 0.66. 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 0.94 times more return on investment than JPMorgan Fundamental. However, Xtrackers MSCI Kokusai is 1.07 times less risky than JPMorgan Fundamental. It trades about -0.01 of its potential returns per unit of risk. JPMorgan Fundamental Data is currently generating about -0.11 per unit of risk. If you would invest 10,184 in Xtrackers MSCI Kokusai on December 5, 2024 and sell it today you would lose (44.00) from holding Xtrackers MSCI Kokusai or give up 0.43% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Xtrackers MSCI Kokusai vs. JPMorgan Fundamental Data
Performance |
Timeline |
Xtrackers MSCI Kokusai |
JPMorgan Fundamental Data |
Xtrackers MSCI and JPMorgan Fundamental Volatility Contrast
Predicted Return Density |
Returns |
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.Xtrackers MSCI vs. Davis Select International | Xtrackers MSCI vs. Principal Value ETF | Xtrackers MSCI vs. WisdomTree Emerging Markets | Xtrackers MSCI vs. Ballast SmallMid Cap |
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Check out your portfolio center.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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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