Correlation Between JPMorgan Fundamental and Principal Value

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

Diversification Opportunities for JPMorgan Fundamental and Principal Value

0.67

Correlation Coefficient

JPMorgan Fundamental  Principal Value

Poor diversification

The 3 months correlation between JPMorgan and Principal is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Fundamental Data and Principal Value ETF in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Principal Value ETF 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 Principal Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Principal Value ETF has no effect on the direction of JPMorgan Fundamental i.e., JPMorgan Fundamental and Principal Value go up and down completely randomly.

Pair Corralation between JPMorgan Fundamental and Principal Value

Given the investment horizon of 90 days JPMorgan Fundamental Data is expected to under-perform the Principal Value. In addition to that, JPMorgan Fundamental is 1.21 times more volatile than Principal Value ETF. It trades about -0.09 of its total potential returns per unit of risk. Principal Value ETF is currently generating about -0.03 per unit of volatility. If you would invest  4,975  in Principal Value ETF on December 21, 2024 and sell it today you would lose (72.30) from holding Principal Value ETF or give up 1.45% of portfolio value over 90 days.

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

JPMorgan Fundamental Data  vs.  Principal Value ETF

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 current stock price uproar, may contribute to short-horizon losses for the private investors.

Principal Value ETF

Risk-Adjusted Performance

Very Weak

Over the last 90 days Principal Value ETF has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly strong basic indicators, Principal Value 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 Principal Value

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

The idea behind JPMorgan Fundamental Data and Principal Value ETF 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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.