Correlation Analysis Between Credit Suisse and JP Morgan

This module allows you to analyze existing cross correlation between Credit Suisse Group and JP Morgan Chase Co. You can compare the effects of market volatilities on Credit Suisse and JP Morgan 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 Credit Suisse with a short position of JP Morgan. See also your portfolio center. Please also check ongoing floating volatility patterns of Credit Suisse and JP Morgan.
Horizon     30 Days    Login   to change
Check Efficiency

Comparative Performance

Credit Suisse Group  

Risk-Adjusted Performance

Over the last 30 days Credit Suisse Group has generated negative risk-adjusted returns adding no value to investors with long positions. In defiance of relatively invariable forward-looking signals, Credit Suisse is not utilizing all of its potentials. The current stock price agitation, may contribute to short term losses for the management.
JP Morgan Chase  

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in JP Morgan Chase Co are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days. Even with considerably weak technical indicators, JP Morgan may actually be approaching a critical reversion point that can send shares even higher in November 2019.

Credit Suisse and JP Morgan Volatility Contrast

 Predicted Return Density 

Credit Suisse Group  vs.  JP Morgan Chase Co

 Performance (%) 

Pair Volatility

Allowing for the 30-days total investment horizon, Credit Suisse is expected to generate 5.74 times less return on investment than JP Morgan. In addition to that, Credit Suisse is 1.01 times more volatile than JP Morgan Chase Co. It trades about 0.01 of its total potential returns per unit of risk. JP Morgan Chase Co is currently generating about 0.07 per unit of volatility. If you would invest  11,354  in JP Morgan Chase Co on September 17, 2019 and sell it today you would earn a total of  681.00  from holding JP Morgan Chase Co or generate 6.0% return on investment over 30 days.

Pair Corralation between Credit Suisse and JP Morgan

Time Period3 Months [change]
ValuesDaily Returns

Diversification Opportunities for Credit Suisse and JP Morgan

Credit Suisse Group diversification synergy

Very poor diversification

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