Correlation Between JPMorgan Fundamental and Invesco Actively

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

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

Diversification Opportunities for JPMorgan Fundamental and Invesco Actively

-0.29

Correlation Coefficient

JPMorgan Fundamental  Invesco Actively

Very good diversification

The 3 months correlation between JPMorgan and Invesco is -0.29. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Fundamental Data and Invesco Actively Managed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco Actively Managed and JPMorgan Fundamental 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 Fundamental Data are associated (or correlated) with Invesco Actively. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco Actively Managed has no effect on the direction of JPMorgan Fundamental i.e., JPMorgan Fundamental and Invesco Actively go up and down completely randomly.

Pair Corralation between JPMorgan Fundamental and Invesco Actively

Given the investment horizon of 90 days JPMorgan Fundamental Data is expected to generate 1.13 times more return on investment than Invesco Actively. However, JPMorgan Fundamental is 1.13 times more volatile than Invesco Actively Managed. It trades about 0.15 of its potential returns per unit of risk. Invesco Actively Managed is currently generating about -0.03 per unit of risk. If you would invest  4,992  in JPMorgan Fundamental Data on October 9, 2024 and sell it today you would earn a total of  629.20  from holding JPMorgan Fundamental Data or generate 12.6% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	88.33%
Values	Daily Returns

JPMorgan Fundamental Data  vs.  Invesco Actively Managed

JPMorgan Fundamental Data

Risk-Adjusted Performance

2 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan Fundamental Data are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable fundamental indicators, JPMorgan Fundamental is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

Invesco Actively Managed

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Invesco Actively Managed has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Invesco Actively is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with JPMorgan Fundamental and Invesco Actively

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

The idea behind JPMorgan Fundamental Data and Invesco Actively Managed 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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.