Pair Correlation Between Agilent Technologies and JPMorgan Chase

This module allows you to analyze existing cross correlation between Agilent Technologies Inc and JPMorgan Chase Co. You can compare the effects of market volatilities on Agilent Technologies and JPMorgan Chase 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 Agilent Technologies with a short position of JPMorgan Chase. See also your portfolio center.Please also check ongoing floating volatility patterns of Agilent Technologies and JPMorgan Chase.
Investment Horizon     30 Days    Login   to change
 Agilent Technologies Inc.  vs   JPMorgan Chase Co.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

If you would invest  6,868  in JPMorgan Chase Co on November 2, 2016 and sell it today you would earn a total of  1,258  from holding JPMorgan Chase Co or generate 18.32% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Agilent Technologies and JPMorgan Chase
0.0

Parameters

Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy4.55%
ValuesDaily Returns

Diversification

Pay attention

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

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00 
 1.35  0.76  0.60  4.50  0.00  0.35 (1.77) 4.60 (0.91) 7.11 

Comparative Volatility

JPMorgan Chase Co

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in JPMorgan Chase Co are ranked lower than 29 (%) of all global equities and portfolios over the last 30 days.