JPMorgan Chase Correlations

JPM Stock

USD 211.22 7.24 3.55%

A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as JPMorgan Chase moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if JPMorgan Chase Co moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

JPMorgan Chase Correlation With Market

Poor diversification

The correlation between JPMorgan Chase Co and DJI is 0.67 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding JPMorgan Chase Co and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in JPMorgan Chase Co. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in american community survey.

Moving together with JPMorgan Stock

0.73	BCS	Barclays PLC ADR	Pair Corr
0.61	NTB	Bank of NT	Pair Corr

Related Correlations Analysis

	AQUI	MSTSX	LBHIX	VIASP	RRTLX	OSHDF	70082LAB3	SITKF
AQUI		0.0	0.0	0.0	0.0	-1.0	0.0	0.0	AQUI
MSTSX	0.0		0.85	0.58	0.97	0.0	-0.23	0.89	MSTSX
LBHIX	0.0	0.85		0.74	0.89	0.0	-0.4	0.83	LBHIX
VIASP	0.0	0.58	0.74		0.65	0.0	-0.47	0.49	VIASP
RRTLX	0.0	0.97	0.89	0.65		0.0	-0.3	0.86	RRTLX
OSHDF	-1.0	0.0	0.0	0.0	0.0		0.0	0.0	OSHDF
70082LAB3	0.0	-0.23	-0.4	-0.47	-0.3	0.0		0.0	70082LAB3
SITKF	0.0	0.89	0.83	0.49	0.86	0.0	0.0		SITKF
	AQUI	MSTSX	LBHIX	VIASP	RRTLX	OSHDF	70082LAB3	SITKF

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

RRTLX	+ 0.97	MSTSX
SITKF	+ 0.89	MSTSX
RRTLX	+ 0.89	LBHIX
SITKF	+ 0.86	RRTLX
LBHIX	+ 0.85	MSTSX
SITKF	+ 0.83	LBHIX

High negative correlations

OSHDF	- 1.0	AQUI
70082LAB3	- 0.47	VIASP
70082LAB3	- 0.4	LBHIX
70082LAB3	- 0.3	RRTLX
70082LAB3	- 0.23	MSTSX
SITKF	- 0.0	70082LAB3

Risk-Adjusted Indicators

There is a big difference between JPMorgan Stock performing well and JPMorgan Chase Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze JPMorgan Chase's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MSTSX	0.60	0.01	(0.01)	0.12	0.66	(0.71)	1.40	(1.22)	4.07
LBHIX	0.15	0.04	(0.14)	0.45	0.00	(0.31)	0.47	(0.24)	1.45
VIASP	1.58	(0.04)	0.00	(0.10)	0.00	0.00	2.65	(4.90)	13.33
RRTLX	0.30	0.00	(0.14)	0.11	0.30	(0.35)	0.73	(0.64)	1.97
OSHDF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
70082LAB3	0.90	0.00	(0.04)	0.09	1.93	(1.10)	1.66	(1.23)	24.27
SITKF	5.24	1.05	0.14	0.48	5.16	(8.56)	14.29	(7.69)	29.76

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