Correlation Between JPMorgan Fundamental and Invesco SP

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

Diversification Opportunities for JPMorgan Fundamental and Invesco SP

0.91

Correlation Coefficient

JPMorgan Fundamental  Invesco SP

Almost no diversification

The 3 months correlation between JPMorgan and Invesco is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Fundamental Data and Invesco SP SmallCap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco SP SmallCap 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 SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco SP SmallCap has no effect on the direction of JPMorgan Fundamental i.e., JPMorgan Fundamental and Invesco SP go up and down completely randomly.

Pair Corralation between JPMorgan Fundamental and Invesco SP

Given the investment horizon of 90 days JPMorgan Fundamental is expected to generate 1.17 times less return on investment than Invesco SP. But when comparing it to its historical volatility, JPMorgan Fundamental Data is 1.82 times less risky than Invesco SP. It trades about 0.39 of its potential returns per unit of risk. Invesco SP SmallCap is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest  5,050  in Invesco SP SmallCap on September 5, 2024 and sell it today you would earn a total of  455.00  from holding Invesco SP SmallCap or generate 9.01% return on investment over 90 days.

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

JPMorgan Fundamental Data  vs.  Invesco SP SmallCap

JPMorgan Fundamental Data

Risk-Adjusted Performance

20 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan Fundamental Data are ranked lower than 20 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak fundamental indicators, JPMorgan Fundamental may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Invesco SP SmallCap

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Invesco SP SmallCap are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. Despite nearly weak basic indicators, Invesco SP may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with JPMorgan Fundamental and Invesco SP

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

The idea behind JPMorgan Fundamental Data and Invesco SP SmallCap 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..