Pair Correlation Between JPMorgan Chase and Agilent Technologies

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

Pair Volatility

Considering 30-days investment horizon, JPMorgan Chase Co is expected to generate 1.19 times more return on investment than Agilent Technologies. However, JPMorgan Chase is 1.19 times more volatile than Agilent Technologies Inc. It trades about 0.48 of its potential returns per unit of risk. Agilent Technologies Inc is currently generating about -0.09 per unit of risk. If you would invest  6,988  in JPMorgan Chase Co on November 6, 2016 and sell it today you would earn a total of  1,312  from holding JPMorgan Chase Co or generate 18.78% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between JPMorgan Chase and Agilent Technologies
0.08

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Significant diversification

Overlapping area represents amount of risk that can be diversified away by holding JPMorgan Chase Co. and Agilent Technologies Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Agilent Technologies and JPMorgan Chase 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 Chase Co are associated (or correlated) with Agilent Technologies. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Agilent Technologies has no effect on the direction of JPMorgan Chase i.e. JPMorgan Chase and Agilent Technologies 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
 1.39  0.92  0.62 (9.59) 0.00  0.39 (1.79) 4.60 (0.91) 7.11 
 1.32  0.15 (0.07)(0.32) 1.55 (0.07)(1.42) 2.37 (2.22) 6.01 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

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 33 (%) of all global equities and portfolios over the last 30 days.

Agilent Technologies

  

Risk-adjusted Performance

Over the last 30 days Agilent Technologies Inc has generated negative risk-adjusted returns adding no value to investors with long positions.